In this paper, we consider a nonparametric model with a time-varying regression function and locally stationary regressors. We are interested in the question whether the regression function has the ...

This course consists of two sections: Section 1 demonstrates linear regression to model the linear relationship between a response and predictor(s) when both the response and predictors are continuous ...

Nonparametric estimation of a structural cointegrating regression model is studied. As in the standard linear cointegrating regression model, the regressor and the dependent variable are jointly ...

Latent factors are variables that cannot be observed directly but can be inferred from a set of observable variables. For example, in psychology, bad conduct (latent factor) can be measured by how ...