Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets
Author:
Affiliation:
1. Guanghua School of Management and Center for Statistical Science, Peking University, Beijing, China;
2. Department of Economics, The University of Auckland, Auckland, New Zealand
Funder
National Natural Science Foundation of China
China’s National Key Research Special Program
Center for Statistical Science at Peking University
Key Laboratory of Mathematical Economics and Quantitative Finance (Peking University), Ministry of Education
Publisher
Informa UK Limited
Subject
Economics and Econometrics
Link
https://www.tandfonline.com/doi/pdf/10.1080/07474938.2019.1624402
Reference35 articles.
1. What Explains the Stock Market's Reaction to Federal Reserve Policy?
2. Functional-Coefficient Regression Models for Nonlinear Time Series
3. Functional-coefficient models for nonstationary time series data
4. Is the Price Level Determined by the Needs of Fiscal Solvency?
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