Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity (Q5436943): Difference between revisions

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+Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
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+Consistent autoregressive spectral estimates
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+Linear prediction by autoregressive model fitting in the time domain
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+Generalized autoregressive conditional heteroscedasticity
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+Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
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+Q3947020
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+Moving-average representation of autoregressive approximations
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+Sieve bootstrap for time series
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+Reconciling the term structure of interest rates with the consumption-based ICAP model
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+Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order
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+Stochastic Limit Theory
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+Q3059475
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+Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
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+Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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+Bootstrapping regression models
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+Nonparametric maximum likelihood estimation by the method of sieves
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+Bootstrapping general empirical measures
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+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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+Maximum likelihood and the bootstrap for nonlinear dynamic models
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+Q4039983
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+Testing for structural change in conditional models
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+The jackknife and the bootstrap for general stationary observations
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+Optimal instrumental variables estimation for ARMA models
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+Prediction of multivariate time series by autoregressive model fitting
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+Bootstrap procedures under some non-i.i.d. models
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+Impulse response analysis in infinite order cointegrated vector autoregressive processes
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+Bootstrap and wild bootstrap for high dimensional linear models
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+Q3996154
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+Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
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+Heteroscedasticity in Models with Lagged Dependent Variables
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+Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
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+Testing cointegration in infinite order vector autoregressive processes
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+ARMA MODELS WITH ARCH ERRORS
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+A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
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+Jackknife, bootstrap and other resampling methods in regression analysis
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