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A fast subsampling method for nonlinear dynamic models

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  • Hong, H.
  • Scaillet, O.

Abstract

We Highlight a fast subsampling method that can be used to provide valid inference in nonlinear dynamic econometric models.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 133 (2006)
Issue (Month): 2 (August)
Pages: 557-578

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Handle: RePEc:eee:econom:v:133:y:2006:i:2:p:557-578

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De.
  2. Goncalves, Silvia & White, Halbert, 2000. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," University of California at San Diego, Economics Working Paper Series qt1bj657ff, Department of Economics, UC San Diego.
  3. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451.
  4. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515.
  5. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Testing in Nonlinear Models," G.R.E.Q.A.M. 97a39, Universite Aix-Marseille III.
  6. Donald W.K. Andrews, 1999. "Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators," Cowles Foundation Discussion Papers 1230R, Cowles Foundation for Research in Economics, Yale University, revised Jan 2001.
  7. Newey, Whitney & West, Kenneth, 2014. "A simple, positive semi-definite, heteroscedasticity and autocorrelation consistent covariance matrix," Applied Econometrics, Publishing House "SINERGIA PRESS", vol. 33(1), pages 125-132.
  8. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
  9. Donald W.K. Andrews, 1999. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Cowles Foundation Discussion Papers 1229, Cowles Foundation for Research in Economics, Yale University.
  10. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  11. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
  12. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444.
  13. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626.
  14. Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
  15. Romano, Joseph P & Wolf, Michael, 2001. "Subsampling Intervals in Autoregressive Models with Linear Time Trend," Econometrica, Econometric Society, vol. 69(5), pages 1283-1314, September.
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Cited by:
  1. Jason Allen & Allan W. Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Papers 08-18, Bank of Canada.
  2. Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.

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