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Citations for "Bootstrapping GMM Estimators for Time Series"

by Atsushi Inoue & Mototsugu Shintani

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  1. Härdle, Wolfgang & Horowitz, Joel L. & Kreiss, Jens-Peter, 2001. "Bootstrap methods for time series," SFB 373 Discussion Papers 2001,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  2. Corradi, Valentina & Swanson, Norman R., 2005. "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, Elsevier, vol. 124(1), pages 117-148, January.
  3. Valentina Corradi & Norman R. Swanson, 2003. "Evaluation of Dynamic Stochastic General Equilibrium Models Based on Distributional Comparison of Simulated and Historical Data," Departmental Working Papers, Rutgers University, Department of Economics 200320, Rutgers University, Department of Economics.
  4. Michael Creel & Dennis Kristensen, 2011. "Indirect likelihood inference," Working Papers 558, Barcelona Graduate School of Economics.
  5. Lee, Seojeong, 2014. "Asymptotic refinements of a misspecification-robust bootstrap for generalized method of moments estimators," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P3), pages 398-413.
  6. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, Elsevier, vol. 161(2), pages 110-121, April.
  7. Márcio Laurini, 2012. "Generalized Tests of Investment Fund Performance," IBMEC RJ Economics Discussion Papers 2012-03, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  8. Diana N. Weymark & Mototsugu Shintani, 2004. "Measuring Inflation Pressure and Monetary Policy Response: A General Approach Applied to US Data 1966 - 2001," Vanderbilt University Department of Economics Working Papers 0424, Vanderbilt University Department of Economics.
  9. Seojeong Lee, 2014. "Asymptotic Refinements of a Misspecification-Robust Bootstrap for GEL Estimators," Discussion Papers, School of Economics, The University of New South Wales 2014-02, School of Economics, The University of New South Wales.
  10. Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, Elsevier, vol. 56(11), pages 3444-3458.
  11. Javed Iqbal & Robert Brooks & Don Galagedera, 2010. "Multivariate tests of asset pricing: simulation evidence from an emerging market," Applied Financial Economics, Taylor & Francis Journals, vol. 20(5), pages 381-395.
  12. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, Elsevier, vol. 133(2), pages 779-806, August.
  13. Ghysels, Eric & Pereira, João Pedro, 2008. "Liquidity and conditional portfolio choice: A nonparametric investigation," Journal of Empirical Finance, Elsevier, Elsevier, vol. 15(4), pages 679-699, September.
  14. Norman Swanson & Valentina Corradi, 2004. "Predictive Density Accuracy Tests," Working Papers, Warwick Business School, Finance Group wp04-16, Warwick Business School, Finance Group.
  15. Zisimos Koustas & Jean-François Lamarche, 2012. "Instrumental variable estimation of a nonlinear Taylor rule," Empirical Economics, Springer, Springer, vol. 42(1), pages 1-20, February.
  16. Inoue, Atsushi & Kilian, Lutz, 2004. "Bagging Time Series Models," CEPR Discussion Papers 4333, C.E.P.R. Discussion Papers.
  17. Blaskowitz, Oliver & Herwartz, Helmut, 2014. "Testing the value of directional forecasts in the presence of serial correlation," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(1), pages 30-42.
  18. Goncalves, Silvia & White, Halbert, 2004. "Maximum likelihood and the bootstrap for nonlinear dynamic models," Journal of Econometrics, Elsevier, Elsevier, vol. 119(1), pages 199-219, March.
  19. Valentina Corradi & Norman R. Swanson, 2007. "Nonparametric Bootstrap Procedures For Predictive Inference Based On Recursive Estimation Schemes," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(1), pages 67-109, 02.
  20. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers 5304, C.E.P.R. Discussion Papers.
  21. Diana N. Weymark & Mototsugu Shintani, 2006. "Quantifying Inflation Pressure and Monetary Policy Response in the United States," Levine's Bibliography 321307000000000321, UCLA Department of Economics.
  22. Oliver Blaskowitz & Helmut Herwartz, 2008. "Testing directional forecast value in the presence of serial correlation," SFB 649 Discussion Papers SFB649DP2008-073, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  23. Corradi, Valentina & Swanson, Norman R., 2006. "Predictive density and conditional confidence interval accuracy tests," Journal of Econometrics, Elsevier, Elsevier, vol. 135(1-2), pages 187-228.
  24. Valentina Corradi & Norman Swanson, 2013. "A Survey of Recent Advances in Forecast Accuracy Comparison Testing, with an Extension to Stochastic Dominance," Departmental Working Papers, Rutgers University, Department of Economics 201309, Rutgers University, Department of Economics.
  25. Rachida Ouysse, 2014. "On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models," Computational Statistics, Springer, Springer, vol. 29(1), pages 233-261, February.
  26. Politis, D N, 2009. "Higher-Order Accurate, Positive Semi-definite Estimation of Large-Sample Covariance and Spectral Density Matrices," University of California at San Diego, Economics Working Paper Series qt66w826hz, Department of Economics, UC San Diego.
  27. Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers 2003s-27, CIRANO.
  28. Yixiao Sun & Peter C.B. Phillips, 2008. "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers 1661, Cowles Foundation for Research in Economics, Yale University.