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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…
econ.EM2023
Robust M-Estimation for Additive Single-Index Cointegrating Time Series Models
Chaohua Dong, Jiti Gao, Yundong Tu +1
Robust M-estimation uses loss functions, such as least absolute deviation (LAD), quantile loss and Huber's loss, to construct its objective function, in order to for example eschew…