Simultaneous inference for time-varying models
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DOI: 10.1016/j.jeconom.2021.03.002
Abstract: A general class of time-varying regression models is considered in this paper. We estimate the regression coefficients by using local linear M-estimation. For these estimators, weak Bahadur representations are obtained and are used to construct… read more here.
Keywords: regression; varying models; time; inference time ... See more keywords