In all areas of human knowledge, datasets are increasing in both size and complexity, creating the need for richer statistical models. This trend is also true for economic data, where high-dimensional and nonlinear/noparametric inference is the norm in several fields of applied econometric work....

Bei der Unterhauswahl in Japan am 16. Dezember 2012 hat die Liberaldemokratische Partei (LDP) unter Shinzo Abe haushoch gesiegt. Die Regierung der Demokratischen Partei Japans (DPJ) mit Ministerpräsident Yoshihiko Noda steht damit vor dem Aus. Nun gelangt wieder jene Partei an die Macht, die...

Summary This paper demonstrates the cases where bootstrap does not work for heteroscedastic time series models. We construct prediction intervals for the ARMA-GARCH models using bootstrap and see how a wrong application of bootstrap could lead to a false conclusion

In this paper we introduce the nonparametric AR(1)–ARCH(1) model and show weak consistency of the Nadaraya–Watson estimators for the model. We propose a residual and a wild bootstrap method and prove weak consistency of the bootstrap estimators.