Simultaneous inference for time-varying models
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DOI: 10.1016/j.jeconom.2021.03.002
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Cited by:
- Niklas Ahlgren & Alexander Back & Timo Terasvirta, 2024. "A new GARCH model with a deterministic time-varying intercept," Papers 2410.03239, arXiv.org, revised Oct 2024.
- Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024.
"Time-varying multivariate causal processes,"
Journal of Econometrics, Elsevier, vol. 240(1).
- Jiti Gao & Bin Peng & Wei Biao Wu & Yayi Yan, 2022. "Time-Varying Multivariate Causal Processes," Papers 2206.00409, arXiv.org.
- Karmakar, Sayar & Gupta, Rangan & Cepni, Oguzhan & Rognone, Lavinia, 2023.
"Climate risks and predictability of the trading volume of gold: Evidence from an INGARCH model,"
Resources Policy, Elsevier, vol. 82(C).
- Sayar Karmakar & Rangan Gupta & Oguzhan Cepni & Lavinia Rognone, 2022. "Climate Risks and Predictability of the Trading Volume of Gold: Evidence from an INGARCH Model," Working Papers 202241, University of Pretoria, Department of Economics.
- Yicong Lin & Mingxuan Song, 2023. "Robust bootstrap inference for linear time-varying coefficient models: Some Monte Carlo evidence," Tinbergen Institute Discussion Papers 23-049/III, Tinbergen Institute.
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Keywords
Time-varying regression; Time-series models; Generalized linear models; Simultaneous confidence band; Gaussian approximation; Bootstrap;All these keywords.
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