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Subsampling for heteroskedastic time series

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Author Info
Politis, D. N.
Romano, Joseph P.
Wolf, Michael
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File URL: http://www.sciencedirect.com/science/article/B6VC0-3SX285R-D/2/4afe14294ba1c713df5cdbd5abcafe81
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Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 81 (1997)
Issue (Month): 2 (December)
Pages: 281-317
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Handle: RePEc:eee:econom:v:81:y:1997:i:2:p:281-317

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

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  1. Joseph P. Romano & Michael Wolf, 2002. "Improved Nonparametric Confidence Intervals in Time Series Regressions," Economics Working Papers 635, Department of Economics and Business, Universitat Pompeu Fabra. [Downloadable!]
  2. Sílvia Gonçalves & Halbert White, 2001. "The Bootstrap of the Mean for Dependent Heterogeneous Arrays," CIRANO Working Papers 2001s-19, CIRANO. [Downloadable!]
    Other versions:
  3. Joseph P. Romano & Michael Wolf, 2006. "Improved Nonparametric Confidence Intervals in Time Series Regressions," IEW - Working Papers iewwp273, Institute for Empirical Research in Economics - IEW. [Downloadable!]
  4. Mehmet Caner, 2006. "A lasso type gmm estimator," Working Papers 210, University of Pittsburgh, Department of Economics, revised Jan 2006. [Downloadable!]
    Other versions:
  5. GONÇALVES, Silvia & WHITE, Halbert, 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
  6. Javier Hidalgo, 2003. "An Alternative Bootstrap to Moving Blocks for Time Series Regression Models," STICERD - Econometrics Paper Series /2003/452, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE. [Downloadable!]
    Other versions:
  7. Hilmer, Christiana E. & Holt, Matthew T., 2000. "A Comparison Of Resampling Techniques When Parameters Are On A Boundary: The Bootstrap, Subsample Bootstrap, And Subsample Jackknife," 2000 Annual meeting, July 30-August 2, Tampa, FL 21810, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  8. Masato Ubukata & Kosuke Oya, 2008. "A Test for Dependence and Covariance Estimator of Market Microstructure Noise," Discussion Papers in Economics and Business 07-03-Rev.2, Osaka University, Graduate School of Economics and Osaka School of International Public Policy (OSIPP). [Downloadable!]
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