Asymptotics for Time-Varying Vector MA(∞) Processes
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More about this item
Keywords
multivariate time series; nonparametric kernel estimation; time-varying Beveridge–Nelson decomposition;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2022-01-03 (Econometrics)
- NEP-ETS-2022-01-03 (Econometric Time Series)
- NEP-ORE-2022-01-03 (Operations Research)
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