Uniform nonparametric inference for time series
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DOI: 10.1016/j.jeconom.2019.09.011
Abstract: Abstract This paper provides the first result for the uniform inference based on nonparametric series estimators in a general time-series setting. We develop a strong approximation theory for sample averages of mixingales with dimensions growing… read more here.
Keywords: time series; nonparametric inference; series; uniform nonparametric ... See more keywords