Subsampling for heteroskedastic time series

DOI10.1016/S0304-4076(97)86569-4zbMATH Open0904.62059OpenAlexW2059047279WikidataQ60962280 ScholiaQ60962280MaRDI QIDQ1372916FDOQ1372916

Authors: Joseph P. Romano, Michael Wolf, Dimitris Politis 

Publication date: 4 November 1997

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

Full work available at URL: https://doi.org/10.1016/s0304-4076(97)86569-4

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zbMATH Keywords

heteroskedasticitytime seriessubsamplingmoving blocks bootstrapcentral limit theorem for triangular arrays

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15)

Cites Work

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Cited In (28)

• Detecting business cycle asymmetries using artificial neural networks and time series models
• Tests of random walk: A comparison of bootstrap approaches
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Large sample theory for statistics of stable moving averages
• A WILD BOOTSTRAP FOR DEPENDENT DATA
• Quenched law of large numbers and quenched central limit theorem for multiplayer leagues with ergodic strengths
• Coverage bound for fixed-\(b\) subsampling and generalized subsampling for time series
• Subsampling weakly dependent time series and application to extremes
• Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
• Finite-sample resampling-based combined hypothesis tests, with applications to serial correlation and predictability
• Improved nonparametric confidence intervals in time series regressions
• On the asymptotic theory of subsampling
• Subsampling high frequency data
• The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
• An alternative bootstrap to moving blocks for time series regression models
• Inference without smoothing for large panels with cross-sectional and temporal dependence
• Comment on: Subsampling weakly dependent time series and application to extremes
• Bootstrap prediction inference of nonlinear autoregressive models
• Theoretical Measures of Relative Performance of Classifiers for High Dimensional Data with Small Sample Sizes
• Comparison of stationary time series using distribution-free methods
• Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers
• Valid hypothesis testing in face of spatially dependent data using multi-layer perceptrons and sub-sampling techniques
• A general central limit theorem for strong mixing sequences
• Empirical likelihood confidence intervals for dependent duration data
• Subsampling inference for the mean of heavy-tailed long-memory time series
• Properties of the nonparametric autoregressive bootstrap
• Exact asymptotics for estimating the marginal density of discretely observed diffusion proc\-esses
• Wild bootstrapping variance ratio tests

Uses Software

• bootstrap

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