Bootstrapping a time series model: some empirical results

DOI10.1080/03610928608829340MaRDI QIDQ3753352zbMATH OpenOpenAlexFDO

Authors Don Holbert, Mun S. Son

Publication date 1986

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928608829340

zbMATH Keywords

bootstrapmaximum likelihood estimationleast squaresstandard errorssecond-order autoregressive model

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• scientific article; zbMATH DE number 3649875 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• A Statistical Evaluation of Multiplicative Congruential Random Number Generators with Modulus 2 31 - 1
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• An algorithm for the exact likelihood of a mixed autoregressive-moving average process
• Bootstrap methods: another look at the jackknife
• Finite sample properties of estimators for autoregressive moving average models
• Linear Statistical Inference and its Applications

Cited in

(8)

• Bootstrap Standard Error Estimates for Linear Regression
• scientific article; zbMATH DE number 4119442 (Why is no real title available?)
• A simple bootstrap test for time series regression models
• An overview of bootstrap methods for estimating and predicting in time series
• Bootstrapping time series models
• A comparison of normal and discrete bootstraps for standard errors in equation systems
• scientific article; zbMATH DE number 2063760 (Why is no real title available?)
• scientific article; zbMATH DE number 638111 (Why is no real title available?)

Describes a project that uses

Uses Software

• SAS/ETS

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