Bootstrapping autoregressions with conditional heteroskedasticity of unknown form.
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. We e...
| Publicado en: | Journal of Econometrics Vol. 123; no. 1; pp. 89 - 121 |
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| Autores principales: | , |
| Formato: | Artículo |
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Elsevier Science
November 2004
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| Materias: | |
| Acceso en línea: | Ver este registro en EBSCOhost |