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Subsampling for heteroskedastic time series

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

Persistent link: https://www.econbiz.de/10001229279

Subsampling for econometric models : comments on "bootstrapping time series models"

Politis, Dimitris N. - In: Econometric reviews 15 (1996) 2, pp. 169-176

Persistent link: https://www.econbiz.de/10001198906

Inference for Autocorrelations in the Possible Presence of a Unit Root

Politis, Dimitris N.; Romano, Joseph P.; Wolf, Michael - 2004

We consider the problem of making inference for the autocorrelations of a time series in the possible presence of a unit root. Even when the underlying series is assumed to be strictly stationary, the robustness against a unit root is a desirable property to ensure good finite-sample coverage in...

Persistent link: https://www.econbiz.de/10014072943

A heavy-tailed distribution for ARCH residuals with application to volatility prediction

Politis, Dimitris N. - In: Annals of economics and finance 5 (2004) 2, pp. 283-298

Persistent link: https://www.econbiz.de/10002544919

A heavy-tailed distribution for ARCH residuals with application to volatility prediction

Politis, Dimitris N. (contributor) - 2004

Persistent link: https://www.econbiz.de/10003761413

Higher-order accurate, positive semidefinite estimation of large-sample covariance and spectral density matrices

Politis, Dimitris N. - In: Econometric theory 27 (2011) 4, pp. 703-744

Persistent link: https://www.econbiz.de/10009311779

A Markovian local resampling scheme for nonparametric estimators in time series analysis

Paparoditis, Efstathios; Politis, Dimitris N. - In: Econometric theory 17 (2001) 3, pp. 540-566

Persistent link: https://www.econbiz.de/10001589016

Robust inference for the mean in the presence of serial correlation and heavy-tailed distributions

McElroy, Tucker; Politis, Dimitris N. - In: Econometric theory 18 (2002) 5, pp. 1019-1039

Persistent link: https://www.econbiz.de/10001702322

Bootstrapping unit root tests for autoregressive time series

Paparoditis, Efstathios; Politis, Dimitris N. - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 545-553

Persistent link: https://www.econbiz.de/10002929370

Automatic block-length selection for the dependent bootstrap

Politis, Dimitris N.; White, Halbert - In: Econometric reviews 23 (2004) 1, pp. 53-70

Persistent link: https://www.econbiz.de/10001944765