Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

DOI10.1080/07474930701624462zbMath1126.62079OpenAlexW1979325061MaRDI QIDQ5436943

Lutz Kilian, Sílvia Gonçalves

Publication date: 18 January 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930701624462

zbMATH Keywords

bootstrapGARCHautoregression

Mathematics Subject Classification ID

Related Items (33)

Bootstrap refinements for QML estimators of the GARCH(1,1) parameters ⋮ Discussion of ``Bootstrap prediction intervals for linear, nonlinear, and nonparametric autoregressions, by Li Pan and Dimitris Politis ⋮ Sieve-based inference for infinite-variance linear processes ⋮ A generalized least squares estimation method for the autoregressive conditional duration model ⋮ Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ Bootstrapping Autoregression under Non-stationary Volatility ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ Non‐parametric short‐ and long‐run Granger causality testing in the frequency domain ⋮ Local projections, autocorrelation, and efficiency ⋮ (WHEN) DO LONG AUTOREGRESSIONS ACCOUNT FOR NEGLECTED CHANGES IN PARAMETERS? ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ Adaptive estimation of AR(\(\infty\)) models with time-varying variances ⋮ Bootstrapping impulse responses of structural vector autoregressive models identified through GARCH ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ Asymptotic inference for dynamic panel estimators of infinite order autoregressive processes ⋮ Robustifying multivariate trend tests to nonstationary volatility ⋮ Asymptotics for LS, GLS, and feasible GLS statistics in an AR(1) model with conditional heteroskedasticity ⋮ In-sample tests of predictive ability: a new approach ⋮ A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ Estimating ARMAX systems for multivariate time series using the state approach to subspace algorithms ⋮ Bootstrapping non-stationary stochastic volatility ⋮ Bootstrap methods for dependent data: a review ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ BootstrapMUnit Root Tests ⋮ TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY ⋮ TESTING FOR GENERAL FRACTIONAL INTEGRATION IN THE TIME DOMAIN ⋮ A moment-based notion of time dependence for functional time series ⋮ Robust inference in conditionally heteroskedastic autoregressions ⋮ Inference for impulse response coefficients from multivariate fractionally integrated processes ⋮ Nested forecast model comparisons: a new approach to testing equal accuracy ⋮ Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping general empirical measures
• Prediction of multivariate time series by autoregressive model fitting
• Bootstrap procedures under some non-i.i.d. models
• Bootstrapping regression models
• Nonparametric maximum likelihood estimation by the method of sieves
• Consistent autoregressive spectral estimates
• Linear prediction by autoregressive model fitting in the time domain
• Misspecifications in vector autoregressions and their effects on impulse responses and variance decompositions
• Reconciling the term structure of interest rates with the consumption-based ICAP model
• Sieve bootstrap for time series
• Testing cointegration in infinite order vector autoregressive processes
• Impulse response analysis in infinite order cointegrated vector autoregressive processes
• Testing for structural change in conditional models
• Generalized autoregressive conditional heteroscedasticity
• Jackknife, bootstrap and other resampling methods in regression analysis
• The jackknife and the bootstrap for general stationary observations
• Moving-average representation of autoregressive approximations
• Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
• Bootstrap and wild bootstrap for high dimensional linear models
• Heteroscedasticity in Models with Lagged Dependent Variables
• ARMA MODELS WITH ARCH ERRORS
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Stochastic Limit Theory
• Bootstrap Confidence Regions Computed from Autoregressions of Arbitrary Order
• Unit Root Tests in ARMA Models with Data-Dependent Methods for the Selection of the Truncation Lag
• Optimal instrumental variables estimation for ARMA models

This page was built for publication: Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity