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Simultaneous inference of linear models with time varying coefficients

Citations

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Cited by:

  1. Zhou Zhou, 2013. "Inference for non-stationary time-series autoregression," Journal of Time Series Analysis, Wiley Blackwell, vol. 34(4), pages 508-516, July.
  2. Gao, Jiti & Peng, Bin & Wu, Wei Biao & Yan, Yayi, 2024. "Time-varying multivariate causal processes," Journal of Econometrics, Elsevier, vol. 240(1).
  3. Cai, Zongwu & Juhl, Ted, 2023. "The distribution of rolling regression estimators," Journal of Econometrics, Elsevier, vol. 235(2), pages 1447-1463.
  4. Weichi Wu & Zhou Zhou, 2017. "Nonparametric Inference for Time-Varying Coefficient Quantile Regression," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(1), pages 98-109, January.
  5. Holger Dette & Subhra Sankar Dhar & Weichi Wu, 2021. "Identifying shifts between two regression curves," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(5), pages 855-889, October.
  6. Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Inference of Grouped Time-Varying Network Vector Autoregression Models," Monash Econometrics and Business Statistics Working Papers 5/23, Monash University, Department of Econometrics and Business Statistics.
  7. Čížek, Pavel & Koo, Chao Hui, 2021. "Jump-preserving varying-coefficient models for nonlinear time series," Econometrics and Statistics, Elsevier, vol. 19(C), pages 58-96.
  8. Jiaqi Li & Likai Chen & Kun Ho Kim & Tianwei Zhou, 2022. "Simultaneous Inference of a Partially Linear Model in Time Series," Papers 2212.10359, arXiv.org, revised Sep 2023.
  9. Ngai Hang Chan & Linhao Gao & Wilfredo Palma, 2022. "Simultaneous variable selection and structural identification for time‐varying coefficient models," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(4), pages 511-531, July.
  10. Li Cai & Suojin Wang, 2021. "Global statistical inference for the difference between two regression mean curves with covariates possibly partially missing," Statistical Papers, Springer, vol. 62(6), pages 2573-2602, December.
  11. Mingxuan Song & Bernhard van der Sluis & Yicong Lin, 2024. "PyTimeVar: A Python Package for Trending Time-Varying Time Series Models," Tinbergen Institute Discussion Papers 24-060/III, Tinbergen Institute.
  12. Karmakar, Sayar & Richter, Stefan & Wu, Wei Biao, 2022. "Simultaneous inference for time-varying models," Journal of Econometrics, Elsevier, vol. 227(2), pages 408-428.
  13. Zhang, Ting, 2015. "Semiparametric model building for regression models with time-varying parameters," Journal of Econometrics, Elsevier, vol. 187(1), pages 189-200.
  14. Li Cai & Lei Jin & Jiuzhou Miao & Suojin Wang, 2024. "Oracle-efficient M-estimation for single-index models with a smooth simultaneous confidence band," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 33(4), pages 1041-1061, December.
  15. Holger Dette & Weichi Wu, 2020. "Prediction in locally stationary time series," Papers 2001.00419, arXiv.org, revised Jan 2020.
  16. Lujia Bai & Weichi Wu, 2021. "Detecting long-range dependence for time-varying linear models," Papers 2110.08089, arXiv.org, revised Mar 2023.
  17. Friedrich, Marina & Lin, Yicong, 2024. "Sieve bootstrap inference for linear time-varying coefficient models," Journal of Econometrics, Elsevier, vol. 239(1).
  18. Li, Degui & Phillips, Peter C.B. & Gao, Jiti, 2020. "Kernel-based Inference in Time-Varying Coefficient Cointegrating Regression," Journal of Econometrics, Elsevier, vol. 215(2), pages 607-632.
  19. Ok, Hyunmin & Kim, Jinyong & Kim, Yongsik, 2023. "Is the Kimchi premium a speculative bubble?," Finance Research Letters, Elsevier, vol. 57(C).
  20. Zongwu Cai & Ted Juhl, 2020. "The Distribution Of Rolling Regression Estimators," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202218, University of Kansas, Department of Economics, revised Dec 2022.
  21. Guanqun Cao & Lijian Yang & David Todem, 2012. "Simultaneous inference for the mean function based on dense functional data," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 24(2), pages 359-377.
  22. Hu, Lixia & Huang, Tao & You, Jinhong, 2019. "Two-step estimation of time-varying additive model for locally stationary time series," Computational Statistics & Data Analysis, Elsevier, vol. 130(C), pages 94-110.
  23. Degui Li & Bin Peng & Songqiao Tang & Weibiao Wu, 2023. "Estimation of Grouped Time-Varying Network Vector Autoregression Models," Papers 2303.10117, arXiv.org, revised Mar 2024.
  24. Kim, Jinyong & Kim, Yongsik & Lee, Seunghyun, 2026. "Simultaneous inference in testing conditional alphas of momentum portfolios," The North American Journal of Economics and Finance, Elsevier, vol. 82(C).
  25. Kim, Kun Ho & Kim, Taejin, 2016. "Capital asset pricing model: A time-varying volatility approach," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 268-281.
  26. Baillie, Richard T. & Kim, Kun Ho, 2015. "Was it risk? Or was it fundamentals? Explaining excess currency returns with kernel smoothed regressions," Journal of Empirical Finance, Elsevier, vol. 34(C), pages 99-111.
  27. Xingcai Zhou & Guang Yang & Yu Xiang, 2022. "Quantile-Wavelet Nonparametric Estimates for Time-Varying Coefficient Models," Mathematics, MDPI, vol. 10(13), pages 1-15, July.
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