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Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

Goncalves, Silvia; Kilian, Lutz - In: Econometric Reviews 26 (2007) 6, pp. 609-641

The main contribution of this paper is a proof of the asymptotic validity of the application of the bootstrap to AR … establishing that a suitably constructed bootstrap estimator will have the same limit distribution as the least-squares estimator … robust standard errors or the bootstrap approximation of the distribution of autoregressive parameters. A simulation study …

Persistent link: https://www.econbiz.de/10005511987

A goodness-of-fit test for a class of autoregressive conditional duration models

Perera, Indeewara; Hidalgo, Javier; Silvapulle, Mervyn J. - In: Econometric reviews 35 (2016) 5/7, pp. 1111-1141

Persistent link: https://www.econbiz.de/10011591144

Testing spatial autocorrelation in weighted networks : the modes permutation test

Bavaud, François - In: Spatial econometric interaction modelling, (pp. 67-83). 2016

Persistent link: https://www.econbiz.de/10011529899

Tests for spatial dependence and heterogeneity in spatially autoregressive varying coefficient models with application to Boston house price analysis

Li, Deng-Kui; Mei, Chang-Lin; Wang, Ning - In: Regional science & urban economics 79 (2019), pp. 1-15

Persistent link: https://www.econbiz.de/10012267915

Interaction matrix selection in spatial autoregressive models with an application to growth theory

Debarsy, Nicolas; Ertur, Kamil C. - In: Regional science & urban economics 75 (2019), pp. 49-69

Persistent link: https://www.econbiz.de/10012119136

The uniform validity of impulse response inference in autoregressions

Inoue, Atsushi; Kilian, Lutz - In: Journal of econometrics 215 (2020) 2, pp. 450-472

Persistent link: https://www.econbiz.de/10012439494

Bootstrapping noncausal autoregressions : with applications to explosive bubble modeling

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Journal of business & economic statistics : JBES ; a … 38 (2020) 1, pp. 55-67

Persistent link: https://www.econbiz.de/10012179509

AN INFINITE FACTOR MODEL FOR CREDIT RISK

SCHMIDT, THORSTEN - In: International Journal of Theoretical and Applied … 09 (2006) 01, pp. 43-68

The defaultable term structure is modeled using stochastic differential equations in Hilbert spaces. This leads to an infinite dimensional model, which is free of arbitrage under a certain drift condition. Furthermore, the model is extended to incorporate ratings based on a Markov chain.

Persistent link: https://www.econbiz.de/10004971737

Nonparametric adaptive density estimation on random fields using wavelet method

Li, Linyuan - In: Statistics & Probability Letters 96 (2015) C, pp. 346-355

We consider non-linear wavelet-based estimators of density functions with stationary random fields, which are indexed by the integer lattice points in the N-dimensional Euclidean space and are assumed to satisfy some mixing conditions. We investigate their asymptotic rates of convergence based...

Persistent link: https://www.econbiz.de/10011115966

A functional central limit theorem for empirical processes under a strong mixing condition

Tone, Cristina - In: Statistical Inference for Stochastic Processes 15 (2012) 2, pp. 177-192

Persistent link: https://www.econbiz.de/10010992894