Autoregressive wild bootstrap inference for nonparametric trends

DOI10.1016/j.jeconom.2019.05.006zbMath1456.62080arXiv1807.02357OpenAlexW2611624508WikidataQ127390309 ScholiaQ127390309MaRDI QIDQ2280604

Stephan Smeekes, Jean-Pierre Urbain, Marina Friedrich

Publication date: 19 December 2019

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

Full work available at URL: https://arxiv.org/abs/1807.02357

zbMATH Keywords

time seriesnonparametric estimationtrend estimationsimultaneous confidence bandsautoregressive wild bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to environmental and related topics (62P12) Nonparametric estimation (62G05) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

Related Items (3)

Sieve bootstrap inference for linear time-varying coefficient models ⋮ The validity of bootstrap testing for threshold autoregression ⋮ A residual bootstrap for conditional value-at-risk

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