A fast subsampling method for nonlinear dynamic models

DOI10.1016/J.JECONOM.2005.06.003MaRDI QIDQ275251zbMATH OpenOpenAlexFDO

Authors Han Hong, Olivier Scaillet

Publication date 25 April 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://archive-ouverte.unige.ch/unige:5838

zbMATH Keywords

subsamplingnonlinear dynamic modelssimulation based estimators

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) General nonlinear regression (62J02) Applications of statistics to economics (62P20)

Recommendations

• A fast resample method for parametric and semiparametric models
• On the asymptotic theory of subsampling
• Subsampling and model selection in time series analysis
• Subsampling
• Subsampling for big data: some recent advances

Cites work

• A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
• Econometric specification of stochastic discount factor models
• Estimation When a Parameter is on a Boundary
• Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
• Instrumental Models and Indirect Encompassing
• Large sample confidence regions based on subsamples under minimal assumptions
• Maximum Likelihood Estimation of Misspecified Models
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• On Subsampling Estimators with Unknown Rate of Convergence
• Pseudo Maximum Likelihood Methods: Theory
• Subsampling
• Subsampling inference in threshold autoregressive models
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• The estimating function bootstrap
• The jackknife and bootstrap
• Window Subsampling of Estimating Functions with Application to Regression Models

Cited in

(10)

• Empirical likelihood block bootstrapping
• Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
• A higher-order correct fast moving-average bootstrap for dependent data
• Nonlinearity-aware sub-model combination in trajectory based methods for nonlinear MOR
• Robust subsampling
• Subsampling Methodology for the Analysis of Nonlinear Atmospheric Time Series
• Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
• Estimation and inference by stochastic optimization
• Testing for the presence of jump components in jump diffusion models
• A fast resample method for parametric and semiparametric models

This page was built for publication: A fast subsampling method for nonlinear dynamic models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q275251)