Inference of time-varying regression models
نویسندگان
چکیده
منابع مشابه
Inference of Time - Varying Regression Models
We consider parameter estimation, hypothesis testing and variable selection for partially time-varying coefficient models. Our asymptotic theory has the useful feature that it can allow dependent, nonstationary error and covariate processes. With a two-stage method, the parametric component can be estimated with a n-convergence rate. A simulation-assisted hypothesis testing procedure is propose...
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ژورنال
عنوان ژورنال: The Annals of Statistics
سال: 2012
ISSN: 0090-5364
DOI: 10.1214/12-aos1010