Large-sample inference in the general AR(1) model

DOI10.1007/BF02595747zbMath0967.62069OpenAlexW2066071614MaRDI QIDQ5936984

Efstathios Paparoditis, Dimitris N. Politis

Publication date: 2 September 2001

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02595747

zbMATH Keywords

bootstrapconfidence intervalsresamplingstationaryunit root

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Related Items (2)

GAUSSIAN INFERENCE IN AR(1) TIME SERIES WITH OR WITHOUT A UNIT ROOT ⋮ Gaussian inference in general AR(1) models based on difference

Uses Software

• bootstrap
• bootlib

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On bootstrapping two-stage least-squares estimates in stationary linear models
• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Edgeworth correction by bootstrap in autoregressions
• Time series: theory and methods.
• A general resampling scheme for triangular arrays of \(\alpha\)-mixing random variables with application to the problem of spectral density estimation
• Subsampling
• Mixing: Properties and examples
• A modified bootstrap for autoregression without stationarity
• The jackknife and the bootstrap for general stationary observations
• Large sample confidence regions based on subsamples under minimal assumptions
• The jackknife and bootstrap
• The bootstrap of the mean for strong mixing sequences under minimal conditions
• Bootstrapping unstable first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Inference For Autocorrelations Under Weak Assumptions
• Non-strong mixing autoregressive processes
• Testing for a unit root in time series regression
• The Stationary Bootstrap
• Unit root bootstrap tests for AR (1) models
• On blocking rules for the bootstrap with dependent data
• The bootstrap and Edgeworth expansion

This page was built for publication: Large-sample inference in the general AR(1) model