Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
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Publication:899521
DOI10.1016/j.jeconom.2003.10.030zbMath1328.62517OpenAlexW3122904576MaRDI QIDQ899521
Publication date: 29 December 2015
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://www.cirano.qc.ca/pdf/publication/2003s-17.pdf
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Cites Work
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- Bootstrapping regression models
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- Jackknife, bootstrap and other resampling methods in regression analysis
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- Moving-average representation of autoregressive approximations
- Bootstrap and wild bootstrap for high dimensional linear models
- Heteroscedasticity in Models with Lagged Dependent Variables
- ARMA MODELS WITH ARCH ERRORS
- The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
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- Bootstrapping Autoregressive Processes with Possible Unit Roots
- Optimal instrumental variables estimation for ARMA models
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