Bootstrapping GMM estimators for time series
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Recommendations
- The block-block bootstrap for time series
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
- Bootstrapping the GMM overidentification test under first-order underidentification
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
Cites work
- scientific article; zbMATH DE number 3930130 (Why is no real title available?)
- scientific article; zbMATH DE number 3988509 (Why is no real title available?)
- scientific article; zbMATH DE number 3740555 (Why is no real title available?)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator
- Asymptotic expansions for sums of weakly dependent random vectors
- Automatic Lag Selection in Covariance Matrix Estimation
- BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- EQUIVALENCE OF THE HIGHER ORDER ASYMPTOTIC EFFICIENCY OF k-STEP AND EXTREMUM STATISTICS
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
- Large Sample Properties of Generalized Method of Moments Estimators
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- Monetary Policy Rules and Macroeconomic Stability: Evidence and Some Theory*
- ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
- On Edgeworth expansion and moving block bootstrap for Studentized \(M\)-estimators in multiple linear regression models
- Second-order correctness of the blockwise bootstrap for stationary observations
- The bootstrap and Edgeworth expansion
- The jackknife and the bootstrap for general stationary observations
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
Cited in
(35)- Bootstrap inference for penalized GMM estimators with oracle properties
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- A higher-order correct fast moving-average bootstrap for dependent data
- A simulation study on the Markov regime-switching zero-drift GARCH model
- Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
- Efficient bootstrap with weakly dependent processes
- HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
- scientific article; zbMATH DE number 7376773 (Why is no real title available?)
- On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models. Moving block bootstrap inference under weak identification
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Quantifying prediction uncertainty for functional-and-scalar to functional autoregressive models under shape constraints
- GMM, GEL, Serial Correlation, and Asymptotic Bias
- Residual-based GARCH bootstrap and second order asymptotic refinement
- HAR Inference: Recommendations for Practice
- Bootstrapping the GMM overidentification test under first-order underidentification
- Estimation in partially linear time-varying coefficients panel data models with fixed effects
- Kernel-weighted GMM estimators for linear time series models
- The block-block bootstrap for time series
- Regularized GMM for time-varying models with applications to asset pricing
- Testing over-identifying restrictions without consistent estimation of the asymptotic covariance matrix
- GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference
- Asymptotic refinements of a misspecification-robust bootstrap for GEL estimators
- Almost sure hypothesis testing and a resolution of the Jeffreys-Lindley paradox
- An affine model for short rates when monetary policy is path dependent
- Finite-sample corrected inference for two-step GMM in time series
- Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
- Bootstrap Methods for Time Series
- Empirical likelihood block bootstrapping
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- Predictive density and conditional confidence interval accuracy tests
- A residual-based multivariate constant correlation test
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
- Fixed-smoothing asymptotics for time series
- Maximum likelihood and the bootstrap for nonlinear dynamic models
- Bootstrap bias-adjusted GMM estimators
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