Projects per year
Abstract
This paper introduces a new class of time-varying vector moving average processes of infinite order. These processes serve dual purposes: (1) they can be used to model time-varying dependence structures, and (2) they can be used to establish asymptotic theories for multivariate time series models. To illustrate these two points, we first establish some fundamental asymptotic properties and use them to infer the trending term of a vector moving average infinity process. We then investigate a class of time-varying VARX models. Finally, we demonstrate the empirical relevance of the theoretical results using extensive simulated and real data studies.
Original language | English |
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Number of pages | 33 |
Journal | Econometric Theory |
DOIs | |
Publication status | Accepted/In press - 2024 |
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New Insights on Modelling Time Trends with Panel Data: Theory and Practice
Peng, B., Yao, W. & Westerlund, J.
1/01/21 → 19/12/25
Project: Research
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New methods for modelling complex trends in climate and energy time series
Anderson, H., Gao, J., Vahid-Araghi, F., Wei, W., Phillips, P. C. B., Linton, O. B. & Lunde, A.
3/08/20 → 31/12/24
Project: Research