The Grid Bootstrap for Continuous Time Models
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Publication:6620957
DOI10.1080/07350015.2021.1930014zbMATH Open1547.6284MaRDI QIDQ6620957FDOQ6620957
Jun Yu, Yiu Lim Lui, Weilin Xiao
Publication date: 17 October 2024
Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)
Cites Work
- Title not available (Why is that?)
- Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models
- Bootstrapping unstable first-order autoregressive processes
- Bootstrap Unit Root Tests
- Asymptotic inference for nearly nonstationary AR(1) processes
- Towards a unified asymptotic theory for autoregression
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
- A Continuous Time Approximation to the Unstable First-Order Autoregressive Process: The Case Without an Intercept
- Double asymptotics for explosive continuous time models
- Econometric analysis of continuous time models: a survey of Peter Phillips's work and some new results
- Parameter estimation and bias correction for diffusion processes
- Asymptotic theory for linear diffusions under alternative sampling schemes
- Generalized Method of Integrated Moments for High-Frequency Data
- Uniform Inference in Autoregressive Models
- Distribution of the mean reversion estimator in the Ornstein–Uhlenbeck process
- DISCRETE TIME REPRESENTATION OF CONTINUOUS TIME ARMA PROCESSES
- Generic results for establishing the asymptotic size of confidence sets and tests
- New distribution theory for the estimation of structural break point in mean
- Double-bootstrap methods that use a single double-bootstrap simulation
- SECOND ORDER EXPANSION OF THE T-STATISTIC IN AR(1) MODELS
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