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Tapered block bootstrap for unit root testing

Parker, Cameron; Paparoditis, Efstathios; Politis, … - In: Journal of time series econometrics 7 (2015) 1, pp. 37-67

Persistent link: https://www.econbiz.de/10010510047

The asymptotic size and power of the augmented Dickey-Fuller test for a unit root

Paparoditis, Efstathios; Politis, Dimitris N. - In: Econometric reviews 37 (2018) 6/10, pp. 955-973

Persistent link: https://www.econbiz.de/10012040423

Time-varying NoVaS versus GARCH : point prediction, volatility estimation and prediction intervals

Chen, Jie; Politis, Dimitris N. - In: Journal of time series econometrics 12 (2020) 2, pp. 1-36

Persistent link: https://www.econbiz.de/10012300649

Nonparametric Resampling for Homogeneous Strong Mixing Random Fields

Politis, D. N.; Romano, J. P. - In: Journal of Multivariate Analysis 47 (1993) 2, pp. 301-328

Künsch (1989, Ann. Statist.17 1217-1241) and Liu ane Singh (1992, in Exploring Limits of Bootstrap (R. Le Page and L. Billard, Eds.), pp. 225-248, Wiley, New York) have recently introduced a block resampling method that is successful in deriving consistent bootstrap estimates of distribution...

Persistent link: https://www.econbiz.de/10005106942

Subsampling for heteroskedastic time series

Politis, D. N.; Romano, Joseph P.; Wolf, Michael - In: Journal of Econometrics 81 (1997) 2, pp. 281-317

Persistent link: https://www.econbiz.de/10005228578

Preface to the Murray Rosenblatt memorial special issue of JTSA

Bradley, Richard C.; Davis, Richard A.; Politis, Dimitris N. - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 495-498

Persistent link: https://www.econbiz.de/10012636177

Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA‐Sieve Bootstrap

McMurry, Timothy L.; Politis, Dimitris N. - In: Journal of Time Series Analysis 39 (2018) 3, pp. 433-446

Persistent link: https://www.econbiz.de/10012094928

Higher‐Order Accurate Spectral Density Estimation of Functional Time Series

Zhu, Tingyi; Politis, Dimitris N. - In: Journal of Time Series Analysis 41 (2019) 1, pp. 3-20

Persistent link: https://www.econbiz.de/10012094997

Consistent autoregressive spectral estimates : Nonlinear time series and large autocovariance matrices

Wang, Jiang; Politis, Dimitris N. - In: Journal of Time Series Analysis 42 (2021) 5-6, pp. 580-596

Persistent link: https://www.econbiz.de/10012410074

Spectral density and spectral distribution inference for long memory time series via fixed-b asymptotics

McElroy, Tucker S.; Politis, Dimitris N. - In: Journal of Econometrics 182 (2014) 1, pp. 211-225

This paper studies taper-based estimates of the spectral density utilizing a fixed bandwidth ratio asymptotic framework, and makes several theoretical contributions: (i) we treat multiple frequencies jointly, (ii) we allow for long-range dependence or anti-persistence at differing frequencies,...

Persistent link: https://www.econbiz.de/10010785289