Gonçalves, Sílvia; Kilian, Lutz - Centre Interuniversitaire de Recherche en Analyse des … - 2003
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard … invalid in the presence of conditional heteroskedasticity. We establish the asymptotic validity of three easy …-to-implement alternative bootstrap proposals for stationary autoregressive processes with m.d.s. errors subject to possible conditional …