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A fast Subsampling Method for Nonlinear Dynamic Models

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Author Info

  • Hong, H.
  • Scaillet, O.
  • Tamer, E.

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

Paper provided by Ecole des Hautes Etudes Commerciales, Universite de Geneve- in its series Papers with number 2001.09.

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Length: 32 pages
Date of creation: 2001
Date of revision:
Handle: RePEc:fth:ehecge:2001.09

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Postal: Suisse; Ecole des Hautes Etudes Commerciales, Universite de Geneve, faculte des SES. 102 Bb. Carl-Vogt CH - 1211 Geneve 4, Suisse
Phone: (+ 41 22) 705-8263
Fax: (+ 41 22) 705-8293
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Web page: http://www.unige.ch/gsem/
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Keywords: SAMPLING ; LINEAR MODELS ; SIMULATION ; ESTIMATION;

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References

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  1. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Testing in Nonlinear Models," G.R.E.Q.A.M. 97a39, Universite Aix-Marseille III.
  2. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
  3. Whitney K. Newey & Kenneth D. West, 1986. "A Simple, Positive Semi-Definite, Heteroskedasticity and AutocorrelationConsistent Covariance Matrix," NBER Technical Working Papers 0055, National Bureau of Economic Research, Inc.
  4. 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.
  5. Donald W.K. Andrews, 1999. "Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators," Cowles Foundation Discussion Papers 1230, Cowles Foundation for Research in Economics, Yale University.
  6. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
  7. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
  8. 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.
  9. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451.
  10. 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.
  11. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626.
  12. 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.
  13. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515.
  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. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444.
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Cited by:
  1. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2006. "Robust Subsampling," Swiss Finance Institute Research Paper Series 06-33, Swiss Finance Institute.
  2. Jason Allen & Allan W. Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Papers 1156, Queen's University, Department of Economics.

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