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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form Author info | Abstract | Publisher info | Download info | Related research | Statistics Goncalves, Silvia
Kilian, Lutz
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Article provided by Elsevier in its journal Journal of Econometrics .
Volume (Year): 123 (2004)
Issue (Month): 1 (November)
Pages: 89-120
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Handle: RePEc:eee:econom:v:123:y:2004:i:1:p:89-120Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom
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Paper GONÇALVES, Silvia & KILIAN, Lutz, 2003.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
Cahiers de recherche
2003-01, Universite de Montreal, Departement de sciences economiques.
[Downloadable!] Lutz Kilian & Silvia Goncalves, 2002.
"Bootstrapping autoregressions with conditional heteroskedasticity of unknown form ,"
Working Paper Series
196, European Central Bank.
[Downloadable!] GONÇALVES, Sílvia & KILIAN, Lutz, 2003.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
Cahiers de recherche
01-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
[Downloadable!] Gonçalves, Sílvia & Kilian, Lutz, 2002.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
Discussion Paper Series 1: Economic Studies
2002,26, Deutsche Bundesbank, Research Centre.
[Downloadable!] Sílvia Gonçalves & Lutz Kilian, 2003.
"Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form ,"
CIRANO Working Papers
2003s-17, CIRANO.
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"The Grid Bootstrap And The Autoregressive Model ,"
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Chesher, Andrew & Jewitt, Ian, 1987.
"The Bias of a Heteroskedasticity Consistent Covariance Matrix Estimator ,"
Econometrica ,
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Berkowitz, J. & Birgean, I. & Kilian, L., 1999.
"On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series ,"
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"Dividend yields and expected stock returns ,"
Journal of Financial Economics ,
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Lutkepohl, Helmut, 1990.
"Asymptotic Distributions of Impulse Response Functions and Forecast Error Variance Decompositions of Vector Autoregressive Models ,"
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MIT Press, vol. 72(1), pages 116-25, February.
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Atsushi Inoue & Lutz Kilian, 2002.
"Bootstrapping Autoregressive Processes with Possible Unit Roots ,"
Econometrica ,
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"Credit and the natural rate of interest ,"
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Todd E. Clark & Michael W. McCracken, 2001.
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James G. MacKinnon, 2006.
"Bootstrap Methods in Econometrics ,"
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Todd E. Clark & Kenneth D. West, 2005.
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NBER Technical Working Papers
0305, National Bureau of Economic Research, Inc.
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Kilian, Lutz & Park, Cheolbeom, 2007.
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CEPR Discussion Papers
6166, C.E.P.R. Discussion Papers.
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Inoue, Atsushi & Kilian, Lutz, 2005.
"How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation ,"
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"A new analysis of the determinants of the real dollar-sterling exchange rate: 1871-1994 ,"
Working Papers
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"Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market ,"
CEPR Discussion Papers
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"Testing for Nonlinearity in Mean in the Presence of Heteroskedasticity ,"
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"Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach ,"
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1585, Cowles Foundation, Yale University.
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Ke-Li Xu & Peter C.B. Phillips, 2006.
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"How wacky is the DAX? The changing structure of German stock market volatility ,"
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