A Fast Subsampling Method for Nonlinear Dynamic Models.

We highlight a fast subsampling method that can be used to provide valid inference in nonlinear dynamic econometric models. This method is based on the subsampling theory proposed by Politis and Romano (1992, 1994) which computes an estimator on subsamples of the data and uses these estimates to construct valid inference under very weak assumptions.

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Year of publication:	2001
Authors:	Hong, H. ; Scaillet, O. ; Tamer, E.
Subject:	MODELS \| SIMULATION \| ECONOMETRIC MODELS

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Type of publication:	Book / Working Paper
Notes:	37 pages
Classification:	C12 - Hypothesis Testing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; C52 - Model Evaluation and Testing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005641128