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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

Gonçalves, Sílvia; Kilian, Lutz - 2002

Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....

Persistent link: https://www.econbiz.de/10001727625

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz - 2016

Persistent link: https://www.econbiz.de/10012991261

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Gonçalves, Sílvia; Kilian, Lutz - 2021

Persistent link: https://www.econbiz.de/10013320164

Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

Kilian, Lutz; Gonçalves, Sílvia - 2002

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

A Note on Bootstrapping Autoregression Under Nonstationary Volatility

Kourogenis, Nikolaos - 2012

In a recent article, Xu (2008) developed the asymptotic theory for autoregressions around a polynomial trend, under … nonstationary volatility. In the same article, Xu proposed a set of t-tests for the regression coefficients and claimed that these … only under the exact knowledge of the asymptotic order of the nonstationary volatility. In this paper it is first shown …

Persistent link: https://www.econbiz.de/10013112126

Inference in VARs with conditional heteroskedasticity of unknown form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - In: Journal of econometrics 191 (2016) 1, pp. 69-85

Persistent link: https://www.econbiz.de/10011594405

Mixed normal conditional heteroskedasticity

Haas, Markus; Mittnik, Stefan; Paolella, Marc S. - 2002

can generate a plausible disaggregation of the conditional variance process, in which the components' volatility dynamics …

Persistent link: https://www.econbiz.de/10009767120

Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, Robert - In: Econometric reviews 38 (2019) 5, pp. 509-532

Persistent link: https://www.econbiz.de/10012181330

Selection criteria in regime switching conditional volatility models

Chuffart, Thomas - In: Econometrics : open access journal 3 (2015) 2, pp. 289-316

A large number of nonlinear conditional heteroskedastic models have been proposed in the literature. Model selection is crucial to any statistical data analysis. In this article, we investigate whether the most commonly used selection criteria lead to choice of the right specification in a...

Persistent link: https://www.econbiz.de/10011297653

Inference in VARs with conditional heteroskedasticity of unknown form

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

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance parameter estimators and address bootstrap...

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