Inference in a Stationary/Nonstationary Autoregressive Time-Varying-Parameter Model
Fuente:
arXiv
Saved in:
| Main Authors: | Andrews, Donald W. K., Li, Ming |
|---|---|
| Format: | Preprint |
| Published: |
2024
|
| Subjects: | |
| Online Access: | |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
Similar Items
Initial-Condition-Robust Inference in Autoregressive Models
by: Andrews, Donald W. K., et al.
Published: (2026)
by: Andrews, Donald W. K., et al.
Published: (2026)
Robust Estimation in Network Vector Autoregression with Nonstationary Regressors
by: Katsouris, Christis
Published: (2024)
by: Katsouris, Christis
Published: (2024)
Estimation of Grouped Time-Varying Network Vector Autoregression Models
by: Li, Degui, et al.
Published: (2023)
by: Li, Degui, et al.
Published: (2023)
Time-Varying Identification of Structural Vector Autoregressions
by: Camehl, Annika, et al.
Published: (2025)
by: Camehl, Annika, et al.
Published: (2025)
Identification and Estimation in a Time-Varying Endogenous Random Coefficient Panel Data Model
by: Li, Ming
Published: (2021)
by: Li, Ming
Published: (2021)
Theory coherent shrinkage of Time-Varying Parameters in VARs
by: Renzetti, Andrea
Published: (2023)
by: Renzetti, Andrea
Published: (2023)
Information-Enriched Selection of Stationary and Non-Stationary Autoregressions using the Adaptive Lasso
by: Reinschlüssel, Thilo, et al.
Published: (2024)
by: Reinschlüssel, Thilo, et al.
Published: (2024)
Estimating Time-Varying Parameters of Various Smoothness in Linear Models via Kernel Regression
by: Nishi, Mikihito
Published: (2024)
by: Nishi, Mikihito
Published: (2024)
Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models
by: Kristensen, Dennis, et al.
Published: (2019)
by: Kristensen, Dennis, et al.
Published: (2019)
The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models
by: Knaus, Peter, et al.
Published: (2023)
by: Knaus, Peter, et al.
Published: (2023)
Time-Varying Parameters as Ridge Regressions
by: Coulombe, Philippe Goulet
Published: (2020)
by: Coulombe, Philippe Goulet
Published: (2020)
Theory of Evolutionary Spectra for Heteroskedasticity and Autocorrelation Robust Inference in Possibly Misspecified and Nonstationary Models
by: Casini, Alessandro
Published: (2021)
by: Casini, Alessandro
Published: (2021)
Clustered Local Projections for Time-Varying Models
by: Herrera, Ana Maria, et al.
Published: (2026)
by: Herrera, Ana Maria, et al.
Published: (2026)
Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models
by: Katsouris, Christis
Published: (2023)
by: Katsouris, Christis
Published: (2023)
The Nonstationary Newsvendor with (and without) Predictions
by: An, Lin, et al.
Published: (2023)
by: An, Lin, et al.
Published: (2023)
True and Pseudo-True Parameters
by: Andrews, Isaiah, et al.
Published: (2026)
by: Andrews, Isaiah, et al.
Published: (2026)
Flexible Bayesian Models for Time-Varying Income Distributions
by: Gunawan, David
Published: (2026)
by: Gunawan, David
Published: (2026)
Difference in Differences with Time-Varying Covariates
by: Caetano, Carolina, et al.
Published: (2022)
by: Caetano, Carolina, et al.
Published: (2022)
Estimation of Latent Group Structures in Time-Varying Panel Data Models
by: Haimerl, Paul, et al.
Published: (2025)
by: Haimerl, Paul, et al.
Published: (2025)
Inference on Partially Identified Parameters with Separable Nuisance Parameters: a Two-Stage Method
by: Tian, Xunkang
Published: (2025)
by: Tian, Xunkang
Published: (2025)
A Synthetic Business Cycle Approach to Counterfactual Analysis with Nonstationary Macroeconomic Data
by: Shi, Zhentao, et al.
Published: (2025)
by: Shi, Zhentao, et al.
Published: (2025)
Functional Spatial Autoregressive Models
by: Hoshino, Tadao
Published: (2024)
by: Hoshino, Tadao
Published: (2024)
The Cointegrated Matrix Autoregressive Model
by: Lopetuso, Emanuele, et al.
Published: (2026)
by: Lopetuso, Emanuele, et al.
Published: (2026)
Stochastic Volatility-in-mean VARs with Time-Varying Skewness
by: Ferreira, Leonardo N., et al.
Published: (2025)
by: Ferreira, Leonardo N., et al.
Published: (2025)
Time-Varying Heterogeneous Treatment Effects in Event Studies
by: Botosaru, Irene, et al.
Published: (2025)
by: Botosaru, Irene, et al.
Published: (2025)
Instrumental Variables with Time-Varying Exposure: New Estimates of Revascularization Effects on Quality of Life
by: Angrist, Joshua D., et al.
Published: (2025)
by: Angrist, Joshua D., et al.
Published: (2025)
Unified Inference on Moment Restrictions with Nuisance Parameters
by: Li, Xingyu, et al.
Published: (2022)
by: Li, Xingyu, et al.
Published: (2022)
Structural Analysis of Vector Autoregressive Models
by: Katsouris, Christis
Published: (2023)
by: Katsouris, Christis
Published: (2023)
Learning Time-Varying Correlation Networks with FDR Control via Time-Varying P-values
by: Li, Bufan, et al.
Published: (2025)
by: Li, Bufan, et al.
Published: (2025)
Time-Varying Identification of Monetary Policy Shocks
by: Camehl, Annika, et al.
Published: (2023)
by: Camehl, Annika, et al.
Published: (2023)
Heterogeneous Autoregressions in Short T Panel Data Models
by: Pesaran, M. Hashem, et al.
Published: (2023)
by: Pesaran, M. Hashem, et al.
Published: (2023)
Inference for Interval-Identified Parameters Selected from an Estimated Set
by: Han, Sukjin, et al.
Published: (2024)
by: Han, Sukjin, et al.
Published: (2024)
Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions
by: Kock, Anders Bredahl, et al.
Published: (2024)
by: Kock, Anders Bredahl, et al.
Published: (2024)
Factor Network Autoregressions
by: Barigozzi, Matteo, et al.
Published: (2022)
by: Barigozzi, Matteo, et al.
Published: (2022)
Privacy-Protected Spatial Autoregressive Model
by: Huang, Danyang, et al.
Published: (2024)
by: Huang, Danyang, et al.
Published: (2024)
Score-Driven Exponential Random Graphs: A New Class of Time-Varying Parameter Models for Dynamical Networks
by: Di Gangi, Domenico, et al.
Published: (2019)
by: Di Gangi, Domenico, et al.
Published: (2019)
Structural Periodic Vector Autoregressions
by: Dzikowski, Daniel, et al.
Published: (2024)
by: Dzikowski, Daniel, et al.
Published: (2024)
Finite Sample Inference in Incomplete Models
by: Li, Lixiong, et al.
Published: (2022)
by: Li, Lixiong, et al.
Published: (2022)
Large Bayesian Tensor Autoregressions
by: Qi, Yaling
Published: (2025)
by: Qi, Yaling
Published: (2025)
Functional Network Autoregressive Models for Panel Data
by: Ando, Tomohiro, et al.
Published: (2025)
by: Ando, Tomohiro, et al.
Published: (2025)
Similar Items
-
Initial-Condition-Robust Inference in Autoregressive Models
by: Andrews, Donald W. K., et al.
Published: (2026) -
Robust Estimation in Network Vector Autoregression with Nonstationary Regressors
by: Katsouris, Christis
Published: (2024) -
Estimation of Grouped Time-Varying Network Vector Autoregression Models
by: Li, Degui, et al.
Published: (2023) -
Time-Varying Identification of Structural Vector Autoregressions
by: Camehl, Annika, et al.
Published: (2025) -
Identification and Estimation in a Time-Varying Endogenous Random Coefficient Panel Data Model
by: Li, Ming
Published: (2021)