A Class of Time-Varying Vector Moving Average (infinity) Models
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Cited by:
- Yayi Yan & Jiti Gao & Bin Peng, 2021. "Asymptotics for Time-Varying Vector MA(∞) Processes," Monash Econometrics and Business Statistics Working Papers 22/21, Monash University, Department of Econometrics and Business Statistics.
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More about this item
Keywords
multivariate time series model; nonparametric kernel estimation; trending stationarity;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2020-10-26 (Econometrics)
- NEP-ETS-2020-10-26 (Econometric Time Series)
- NEP-MAC-2020-10-26 (Macroeconomics)
- NEP-MON-2020-10-26 (Monetary Economics)
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