Long-Run Variance Estimation in Time Series Regression
Simulate data from time-varying time series regression model with chan...
Generalized Cross Validation
Long memory tests for non-stationary time series regression
Structural stability tests for non-stationary time series regression
Long-run covariance matrix estimators
Nonparametric smoothing
Local linear Regression
Comparing bias or mse of lrv estimators based on numerical methods
mlrv: Long-Run Variance Estimation in Time Series Regression
Statistics-adapted values for extended minimum volatility selection.
Statistics-adapted values for extended minimum volatility selection.
MV method
Simulate data from time-varying time series regression model
Simulate data from time-varying trend model
rule of thumb interval for the selection of smoothing parameter b
bootstrap distribution
Plug-in and difference-based long-run covariance matrix estimation for time series regression. Two applications of hypothesis testing are also provided. The first one is for testing for structural stability in coefficient functions. The second one is aimed at detecting long memory in time series regression. Lujia Bai and Weichi Wu (2024)<doi:10.3150/23-BEJ1680> Zhou Zhou and Wei Biao Wu(2010)<doi:10.1111/j.1467-9868.2010.00743.x> Jianqing Fan and Wenyang Zhang<doi:10.1214/aos/1017939139> Lujia Bai and Weichi Wu(2024)<doi:10.1093/biomet/asae013> Dimitris N. Politis, Joseph P. Romano, Michael Wolf(1999)<doi:10.1007/978-1-4612-1554-7> Weichi Wu and Zhou Zhou(2018)<doi:10.1214/17-AOS1582>.