Search Results - subject:"Pairwise Bootstrap"

Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

also show that wild and pairwise bootstrap schemes fail in the presence of conditional heteroskedasticity if inference on …

Persistent link: https://www.econbiz.de/10011441857

Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - Abteilung für Volkswirtschaftslehre, Universität Mannheim - 2014

also show that wild and pairwise bootstrap schemes fail in the presence of conditional heteroskedasticity if inference on …

Persistent link: https://www.econbiz.de/10010986691

Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - Fachbereich Wirtschaftswissenschaften, Universität Konstanz - 2014

also show that wild and pairwise bootstrap schemes fail in the presence of conditional heteroskedasticity if inference on …

Persistent link: https://www.econbiz.de/10011070846

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

also show that wild and pairwise bootstrap schemes fail in the presence of conditional heteroskedasticity if inference on …

Persistent link: https://www.econbiz.de/10011490564

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Gonçalves, Sílvia; Kilian, Lutz - Centre Interuniversitaire de Recherche en Analyse des … - 2003

pairwise bootstrap. In a simulation study all three procedures tend to be more accurate in small samples than the conventional …

Persistent link: https://www.econbiz.de/10005100804

Asymptotic and Bootstrap Inference for AR(<i>Infinite</i>) Processes with Conditional Heteroskedasticity

Gonçalves, Sílvia; Kilian, Lutz - Centre Interuniversitaire de Recherche en Analyse des … - 2003

The main contribution of this paper is twofold. First, we derive the consistency and asymptotic normality of the estimated autoregressive sieve parameters when the data are generated by a stationary linear process with martingale difference errors that are possibly subject to conditional...

Persistent link: https://www.econbiz.de/10005100842

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Gonçalves, Sílvia; KILIAN, Lutz - Centre Interuniversitaire de Recherche en Économie … - 2003

pairwise bootstrap. In a simulation study, all three procedures tend to be more accurate in small samples than the conventional …

Persistent link: https://www.econbiz.de/10005729624

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz; Gonçalves, Sílvia - 2002

pairwise bootstrap. In a simulation study all three procedures tend to be more accurate in small samples than the conventional …

Persistent link: https://www.econbiz.de/10010295743

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

pairwise bootstrap. In a simulation study all three procedures tend to be more accurate in small samples than the conventional …

Persistent link: https://www.econbiz.de/10011604242

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz; Gonçalves, Sílvia - Deutsche Bundesbank - 2002

pairwise bootstrap. In a simulation study all three procedures tend to be more accurate in small samples than the conventional …

Persistent link: https://www.econbiz.de/10005083322