2 citations · 5 across the 12 of their papers we have counts for
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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…
stat.ME2023
Estimation of Grouped Time-Varying Network Vector Autoregression Models
Degui Li, Bin Peng, Songqiao Tang +1
This paper introduces a flexible time-varying network vector autoregressive model framework for large-scale time series. A latent group structure is imposed on the heterogeneous an…
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…