Pages that link to "Item:Q5436943"

The following pages link to Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity (Q5436943):

Displaying 33 items.

• Bootstrap refinements for QML estimators of the GARCH(1,1) parameters (Q295411) (← links)
• Discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions'', by Li Pan and Dimitris Politis (Q301351) (← links)
• Sieve-based inference for infinite-variance linear processes (Q309715) (← links)
• Robustifying multivariate trend tests to nonstationary volatility (Q527989) (← links)
• Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity (Q527995) (← links)
• In-sample tests of predictive ability: a new approach (Q528013) (← links)
• Bootstrap methods for dependent data: a review (Q743759) (← links)
• Inference in VARs with conditional heteroskedasticity of unknown form (Q898587) (← links)
• Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms (Q1000570) (← links)
• Wild bootstrap tests for autocorrelation in vector autoregressive models (Q1685299) (← links)
• Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH (Q1734571) (← links)
• Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes (Q1753051) (← links)
• Bootstrapping non-stationary stochastic volatility (Q2043261) (← links)
• Adaptive estimation of AR(\(\infty\)) models with time-varying variances (Q2226867) (← links)
• A moment-based notion of time dependence for functional time series (Q2330725) (← links)
• Nested forecast model comparisons: a new approach to testing equal accuracy (Q2346024) (← links)
• Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension (Q2352737) (← links)
• A generalized least squares estimation method for the autoregressive conditional duration model (Q2633419) (← links)
• Estimating the variance of a combined forecast: bootstrap-based approach (Q2682957) (← links)
• (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? (Q2981819) (← links)
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (Q2995420) (← links)
• Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors (Q3007554) (← links)
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY (Q3100977) (← links)
• Bootstrap<i>M</i>Unit Root Tests (Q3394104) (← links)
• Bootstrapping Autoregression under Non-stationary Volatility (Q3499425) (← links)
• TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN (Q3652627) (← links)
• A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS (Q5176759) (← links)
• Linear bootstrap methods for vector autoregressive moving-average models (Q5220857) (← links)
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (Q5411516) (← links)
• Robust inference in conditionally heteroskedastic autoregressions (Q5860968) (← links)
• Inference for impulse response coefficients from multivariate fractionally integrated processes (Q5864455) (← links)
• Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain (Q6135335) (← links)
• Local projections, autocorrelation, and efficiency (Q6185467) (← links)