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
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- On blocking rules for the bootstrap with dependent data
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- Second-order correctness of the blockwise bootstrap for stationary observations
- Subsampling for heteroskedastic time series
- THE BOOTSTRAP OF THE MEAN FOR DEPENDENT HETEROGENEOUS ARRAYS
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Cited in
(45)- Discussion on: ``Bootstrap methods for dependent data: a review
- Local Gaussian Autocorrelation and Tests for Serial Independence
- Predictive ability tests with possibly overlapping models
- Bootstrap specification tests for diffusion processes
- Empirical likelihood block bootstrapping
- Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data
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- A WILD BOOTSTRAP FOR DEPENDENT DATA
- A block bootstrap for quasi-likelihood in sparse functional data
- scientific article; zbMATH DE number 418923 (Why is no real title available?)
- A bootstrap method for structure detection of NARMAX models
- Hierarchical Kendall copulas: properties and inference
- Bootstrapping Noncausal Autoregressions: With Applications to Explosive Bubble Modeling
- Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators
- A goodness-of-fit test for a class of autoregressive conditional duration models
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- Fiscal policy and asset markets: a semiparametric analysis
- Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
- A higher-order correct fast moving-average bootstrap for dependent data
- Testing for structural stability of factor augmented forecasting models
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- Bootstrapping the GMM overidentification test under first-order underidentification
- Asymptotic refinements of nonparametric bootstrap for quasi-likelihood ratio tests for classes of extremum estimators
- Multi-Horizon Forecast Comparison
- The moving blocks bootstrap for panel linear regression models with individual fixed effects
- Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models
- Efficient bootstrap with weakly dependent processes
- A model selection test for bivariate failure-time data
- On the inconsistency of nonparametric bootstraps for the subvector Anderson-Rubin test
- Robust forecast comparison
- Estimating the variance of a combined forecast: bootstrap-based approach
- A review of copula models for economic time series
- Statistical properties of parametric estimators for Markov chain vectors based on copula models
- Predictive density and conditional confidence interval accuracy tests
- Bootstrap non-parametric significance test
- Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators
- A TEST FOR COMPARING MULTIPLE MISSPECIFIED CONDITIONAL INTERVAL MODELS
- A fast resample method for parametric and semiparametric models
- Mechanistic analysis of challenge-response experiments
- Discussion of: ``Models as approximations
- Bootstrap inference under cross‐sectional dependence
- Distribution of test statistics under parameter uncertainty for time series data: an application to testing skewness, kurtosis and normality
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