Abstract:In this paper, we consider the time-inhomogeneous nonlinear time series regression for a general class of locally stationary time series. On one hand, we propose sieve nonparametric estimators for the time-varying regression functions which can achieve the min-max optimal rate as in [52]. On the other hand, we develop a unified simultaneous inferential theory which can be used to conduct both structural and exact form testings on the functions. Our proposed statistics are powerful even under locally weak alter… Show more
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