Subsampling vector autoregressive tests of linear constraints (Q261882): Difference between revisions

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+https://doi.org/10.1016/j.jeconom.2003.12.013
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+W2087317985
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@@ Property / cites work @@
+Bootstrap methods in statistics
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+Topics in Advanced Econometrics
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+Q4040465
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+Subsampling inference in cube root asymptotics with an application to Manski's maximum score estimator.
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+Making wald tests work for cointegrated VAR systems
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+Subsampling inference in threshold autoregressive models
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+Investigating Causal Relations by Econometric Models and Cross-spectral Methods
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+Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
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+Fully Modified Least Squares and Vector Autoregression
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+Subsampling
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+Subsampling inference for the mean in the heavy-tailed case.
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+Replicate Histograms
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+Inference in Linear Time Series Models with some Unit Roots
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+Vector Autoregressions and Causality
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+Statistical inference in vector autoregressions with possibly integrated processes
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+On the asymptotic properties of the jackknife histogram
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+Inference in possibly integrated vector autoregressive models: Some finite sample evidence
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