Cover Image

Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Kristensen, Dennis, Lee, Young Jun
Format:	Preprint
Published:	2019
Subjects:	Econometrics Statistics Theory
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Learning Time-Varying Correlation Networks with FDR Control via Time-Varying P-values
by: Li, Bufan, et al.
Published: (2025)

Robust Priors in Nonlinear Panel Models with Individual and Time Effects
by: Yan, Zizhong, et al.
Published: (2026)

Locally Regular and Efficient Tests in Non-Regular Semiparametric Models
by: Lee, Adam
Published: (2024)

Estimation of High-dimensional Nonlinear Vector Autoregressive Models
by: Han, Yuefeng, et al.
Published: (2025)

Selecting Penalty Parameters of High-Dimensional M-Estimators using Bootstrapping after Cross-Validation
by: Chetverikov, Denis, et al.
Published: (2021)

Optimal Estimation for General Gaussian Processes
by: Takabatake, Tetsuya, et al.
Published: (2025)

Empirical Bayes When Estimation Precision Predicts Parameters
by: Chen, Jiafeng
Published: (2022)

Bubble Modeling and Tagging: A Stochastic Nonlinear Autoregression Approach
by: Yang, Xuanling, et al.
Published: (2024)

An Optimal Transport Approach to Estimating Causal Effects via Nonlinear Difference-in-Differences
by: Torous, William, et al.
Published: (2021)

Local Identification in Instrumental Variable Multivariate Quantile Regression Models
by: Kono, Haruki
Published: (2024)

Estimation of a Dynamic Tobit Model with a Unit Root
by: Bykhovskaya, Anna, et al.
Published: (2025)

Confidence Intervals for Projections of Partially Identified Parameters
by: Kaido, Hiroaki, et al.
Published: (2016)

Asymptotic Properties of the Maximum Likelihood Estimator for Markov-switching Observation-driven Models
by: Krabbe, Frederik
Published: (2024)

Uniform Estimation and Inference for Nonparametric Partitioning-Based M-Estimators
by: Cattaneo, Matias D., et al.
Published: (2024)

Estimation of Integrated Volatility Functionals with Kernel Spot Volatility Estimators
by: Figueroa-López, José E., et al.
Published: (2024)

Quasi Maximum Likelihood Estimation of High-Dimensional Factor Models: A Critical Review
by: Barigozzi, Matteo
Published: (2023)

Factor Models of Matrix-Valued Time Series: Nonstationarity and Cointegration
by: Li, Degui, et al.
Published: (2025)

Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
by: Kock, Anders Bredahl, et al.
Published: (2024)

Estimation with Pairwise Observations
by: Chan, Felix, et al.
Published: (2024)

Quasi Maximum Likelihood Estimation and Inference of Large Approximate Dynamic Factor Models via the EM algorithm
by: Barigozzi, Matteo, et al.
Published: (2019)

Efficient Sampling for Realized Variance Estimation in Time-Changed Diffusion Models
by: Dimitriadis, Timo, et al.
Published: (2022)

Nonlinear Binscatter Methods
by: Cattaneo, Matias D., et al.
Published: (2024)

On Rosenbaum's Rank-based Matching Estimator
by: Cattaneo, Matias D., et al.
Published: (2023)

Efficient Difference-in-Differences and Event Study Estimators
by: Chen, Xiaohong, et al.
Published: (2025)

GMM and M Estimation under Network Dependence
by: Sasaki, Yuya
Published: (2025)

Estimation and Inference for CP Tensor Factor Models
by: Chen, Bin, et al.
Published: (2024)

Prewhitened Long-Run Variance Estimation Robust to Nonstationarity
by: Casini, Alessandro, et al.
Published: (2021)

Debiased Kernel Estimation of Spot Volatility in the Presence of Infinite Variation Jumps
by: Boniece, B. Cooper, et al.
Published: (2025)

A New Design-Based Variance Estimator for Finely Stratified Experiments
by: Bai, Yuehao, et al.
Published: (2025)

Identification and Inference in Nonlinear Dynamic Network Models
by: Vallarino, Diego
Published: (2026)

Modewise Additive Factor Model for Matrix Time Series
by: Chen, Elynn, et al.
Published: (2025)

Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series
by: Hoga, Yannick, et al.
Published: (2025)

Compound Estimation for Binomials
by: Chen, Yan, et al.
Published: (2025)

Efficient Integrated Volatility Estimation in the Presence of Infinite Variation Jumps via Debiased Truncated Realized Variations
by: Boniece, B. Cooper, et al.
Published: (2022)

Inference for parameters identified by conditional moment restrictions using a generalized Bierens maximum statistic
by: Chen, Xiaohong, et al.
Published: (2020)

Robust Estimation and Inference for Categorical Data
by: Welz, Max
Published: (2024)

On Asymptotic Optimality of Least Squares Model Averaging When True Model Is Included
by: Xu, Wenchao, et al.
Published: (2024)

Normal Approximation in Large Network Models
by: Leung, Michael P., et al.
Published: (2019)

Universal Inference for Incomplete Discrete Choice Models
by: Kaido, Hiroaki, et al.
Published: (2025)

Semiparametric Conditional Factor Models in Asset Pricing
by: Chen, Qihui, et al.
Published: (2021)