Statistical inference of locally stationary functional coefficient models
Sign Up to like & getrecommendations! Published in 2020 at "Journal of Statistical Planning and Inference"
DOI: 10.1016/j.jspi.2020.02.006
Abstract: Abstract In this paper, we propose a novel functional coefficient model, useful for direct modeling of nonstationary time series data without needing to detrend the original data. The proposed model could reveal the underlying dynamics… read more here.
Keywords: locally stationary; coefficient; inference locally; functional coefficient ... See more keywords
Inference on locally ordered breaks in multiple regressions
Sign Up to like & getrecommendations! Published in 2017 at "Econometric Reviews"
DOI: 10.1080/07474938.2015.1114552
Abstract: ABSTRACT We consider issues related to inference about locally ordered breaks in a system of equations, as originally proposed by Qu and Perron (2007). These apply when break dates in different equations within the system… read more here.
Keywords: ordered breaks; confidence intervals; locally ordered; inference locally ... See more keywords