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econ.EM2025
Optimal break tests for large linear time series models
Abhimanyu Gupta, Myung Hwan Seo
We develop a class of optimal tests for a structural break occurring at an unknown date in infinite and growing-order time series regression models, such as AR(), linear re…
econ.EM2025
Wald inference on varying coefficients
Abhimanyu Gupta, Xi Qu, Sorawoot Srisuma +1
We present simple to implement Wald-type statistics that deliver a general nonparametric inference theory for linear restrictions on varying coefficients in a range of regression m…