Generalized dynamic semi‐parametric factor models for high‐dimensional non‐stationary time series
نویسندگان
چکیده
منابع مشابه
Semiparametric Estimation in Multivariate Nonstationary Time Series Models
A system of multivariate semiparametric nonlinear time series models is studied with possible dependence structures and nonstationarities in the parametric and nonparametric components. The parametric regressors may be endogenous while the nonparametric regressors are assumed to be strictly exogenous. The parametric regressors may be stationary or nonstationary and the nonparametric regressors ...
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ژورنال
عنوان ژورنال: The Econometrics Journal
سال: 2014
ISSN: 1368-4221,1368-423X
DOI: 10.1111/ectj.12024