Maximum likelihood and the bootstrap for nonlinear dynamic models
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Cites work
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- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
- Basic structure of the asymptotic theory in dynamic nonlineaerco nometric models, part i: consistency and approximation concepts
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- Bootstrapping GMM estimators for time series
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- On blocking rules for the bootstrap with dependent data
- ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
- On the Strong Law of Large Numbers and Related Results for Quasi-Stationary Sequences
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- Subsampling for heteroskedastic time series
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Cited in
(48)- Efficient bootstrap with weakly dependent processes
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- Bootstrapping the GMM overidentification test under first-order underidentification
- Testing for structural stability of factor augmented forecasting models
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- Bootstrap specification tests for diffusion processes
- Estimating the variance of a combined forecast: bootstrap-based approach
- Bootstrapping GMM estimators for time series
- A fast subsampling method for nonlinear dynamic models
- Bootstrap conditional distribution tests in the presence of dynamic misspecification
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
- Mechanistic analysis of challenge-response experiments
- A model selection test for bivariate failure-time data
- Predictive density and conditional confidence interval accuracy tests
- Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
- Local Gaussian Autocorrelation and Tests for Serial Independence
- Fiscal policy and asset markets: a semiparametric analysis
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- scientific article; zbMATH DE number 418923 (Why is no real title available?)
- A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
- A review of copula models for economic time series
- A bootstrap method for structure detection of NARMAX models
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- A block bootstrap for quasi-likelihood in sparse functional data
- Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
- Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality
- Asymptotic refinements of nonparametric bootstrap for quasi-likelihood ratio tests for classes of extremum estimators
- Empirical likelihood block bootstrapping
- Robust forecast comparison
- Hierarchical Kendall copulas: properties and inference
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Bootstrap non-parametric significance test
- Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
- A goodness-of-fit test for a class of autoregressive conditional duration models
- Discussion on: ``Bootstrap methods for dependent data: a review
- A WILD BOOTSTRAP FOR DEPENDENT DATA
- Bootstrap inference under cross‐sectional dependence
- A higher-order correct fast moving-average bootstrap for dependent data
- Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
- Predictive ability tests with possibly overlapping models
- Multi-Horizon Forecast Comparison
- Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
- Assessing estimation uncertainty under model misspecification
- Bootstraps for dynamic panel threshold models
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- On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test
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