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The paper considers local linear regression of a time series model with non-stationary regressors and errors. Asymptotic property of the local linear estimator is derived under a new dependence measure of non-stationary time series. We apply the local linear regression method to estimate the “time-varying” coefficients of an economic-causal model for the industrial sector of the U.S. economy. Nonparametric...
Summary. The paper considers construction of simultaneous confidence tubes for time varying regression coefficients in functional linear models. Using a Gaussian approximation result for non‐stationary multiple time series, we show that the constructed simultaneous confidence tubes have asymptotically correct nominal coverage probabilities. Our results are applied to the problem of testing whether...
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