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Found 5 papers, 0 papers with code
Time-Varying Vector Error-Correction Models: Estimation and Inference
This paper considers a time-varying vector error-correction model that allows for different time series behaviours (e. g., unit-root and locally stationary processes) to interact with each other to co-exist.
Time-Varying Multivariate Causal Processes
In this paper, we consider a wide class of time-varying multivariate causal processes which nests many classic and new examples as special cases.
Higher-order Expansions and Inference for Panel Data Models
In this paper, we propose a simple inferential method for a wide class of panel data models with a focus on such cases that have both serial correlation and cross-sectional dependence.
On Time-Varying VAR Models: Estimation, Testing and Impulse Response Analysis
Vector autoregressive (VAR) models are widely used in practical studies, e. g., forecasting, modelling policy transmission mechanism, and measuring connection of economic agents.
Binary Response Models for Heterogeneous Panel Data with Interactive Fixed Effects
In this paper, we investigate binary response models for heterogeneous panel data with interactive fixed effects by allowing both the cross-sectional dimension and the temporal dimension to diverge.
