Bootstrapping regression models with locally stationary disturbances
From MaRDI portal
Publication:2666048
DOI10.1007/s11749-020-00721-3zbMath1474.62184OpenAlexW3036890219MaRDI QIDQ2666048
Joel Muñoz, Jorge Mateu, Guillermo P. Ferreira, José Antonio Vilar
Publication date: 22 November 2021
Published in: Test (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11749-020-00721-3
Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)
Cites Work
- Testing for a break in persistence under long-range dependencies
- Kalman filter estimation for a regression model with locally stationary errors
- An efficient estimator for locally stationary Gaussian long-memory processes
- Nonparametric regression for locally stationary time series
- The effect of tapering on the semiparametric estimators for nonstationary long memory processes
- On the sample mean of locally stationary long-memory processes
- Some asymptotic theory for the bootstrap
- Bootstrapping regression models
- Fitting time series models to nonstationary processes
- An alternative bootstrap to moving blocks for time series regression models
- A likelihood approximation for locally stationary processes
- Bootstrap of minimum distance estimators in regression with correlated disturbances
- Bootstraps for time series
- Estimating the asymptotic covariance matrix for quantile regression models. A Monte Carlo study
- Bootstrap of linear model with AR-error structure
- On the Kullback-Leibler information divergence of locally stationary processes
- Long memory or structural changes: an empirical examination on inflation rates
- An Efficient Taper for Potentially Overdifferenced Long-memory Time Series
- ESTIMATION OF THE MEMORY PARAMETER FOR NONSTATIONARY OR NONINVERTIBLE FRACTIONALLY INTEGRATED PROCESSES
- Bootstrap Methods for Median Regression Models
- Bootstrap Methods
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: Bootstrapping regression models with locally stationary disturbances
