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econ.EM2023
Estimation and Inference for a Class of Generalized Hierarchical Models
Chaohua Dong, Jiti Gao, Bin Peng +1
In this paper, we consider estimation and inference for the unknown parameters and function involved in a class of generalized hierarchical models. Such models are of great interes…
econ.EM2023
Time-Varying Vector Error-Correction Models: Estimation and Inference
Jiti Gao, Bin Peng, Yayi Yan
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 wi…