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Citations for "Bootstrapping GMM Estimators for Time Series"

by Atsushi Inoue & Mototsugu Shintani

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  1. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, Elsevier, vol. 161(2), pages 110-121, April.
  2. 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.
  3. Michael Creel & Dennis Kristensen, 2011. "Indirect likelihood inference," Working Papers 558, Barcelona Graduate School of Economics.
  4. 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.
  5. Norman Swanson & Valentina Corradi, 2006. "Nonparametric Bootstrap Procedures for Predictive Inference Based on Recursive Estimation Schemes," Departmental Working Papers, Rutgers University, Department of Economics 200618, Rutgers University, Department of Economics.
  6. Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers, Rutgers University, Department of Economics 200311, Rutgers University, Department of Economics.
  7. Valentina Corradi & Norman Swanson, 2004. "Predective Density and Conditional Confidence Interval Accuracy Tests," Departmental Working Papers, Rutgers University, Department of Economics 200423, Rutgers University, Department of Economics.
  8. 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.
  9. 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.
  10. Yixiao Sun & Peter C.B. Phillips, 2008. "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1661, Cowles Foundation for Research in Economics, Yale University.
  11. Inoue, Atsushi & Kilian, Lutz, 2004. "Bagging Time Series Models," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4333, C.E.P.R. Discussion Papers.
  12. 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.
  13. 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.
  14. 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.
  15. Corradi, Valentina & Swanson, Norman R., 2007. "Evaluation of dynamic stochastic general equilibrium models based on distributional comparison of simulated and historical data," Journal of Econometrics, Elsevier, Elsevier, vol. 136(2), pages 699-723, February.
  16. Goncalves, Silvia & White, Halbert, 2002. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego qt8hx21540, Department of Economics, UC San Diego.
  17. Norman Swanson & Valentina Corradi, 2004. "Predictive Density Accuracy Tests," Working Papers, Warwick Business School, Finance Group wp04-16, Warwick Business School, Finance Group.
  18. Márcio Laurini, 2012. "Generalized Tests of Investment Fund Performance," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro 2012-03, Economics Research Group, IBMEC Business School - Rio de Janeiro.
  19. Francesco Bravo & Federico Crudu, 2012. "Efficient bootstrap with weakly dependent processes," Discussion Papers, Department of Economics, University of York 12/08, Department of Economics, University of York.
  20. 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.
  21. Corradi, Valentina & Swanson, Norman R., 2005. "Bootstrap specification tests for diffusion processes," Journal of Econometrics, Elsevier, Elsevier, vol. 124(1), pages 117-148, January.
  22. Javed Iqbal & Robert Brooks & Don U.A. Galagedera, 2008. "Multivariate tests of asset pricing: Simulation evidence from an emerging market," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 2/08, Monash University, Department of Econometrics and Business Statistics.
  23. Eric Ghysels & João Pereira, 2003. "On Portfolio Choice, Liquidity, and Short Selling: A Nonparametric Investigation," CIRANO Working Papers, CIRANO 2003s-27, CIRANO.
  24. 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.
  25. 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, Vanderbilt University Department of Economics 0424, Vanderbilt University Department of Economics.
  26. Inoue, Atsushi & Kilian, Lutz, 2005. "How Useful is Bagging in Forecasting Economic Time Series? A Case Study of US CPI Inflation," CEPR Discussion Papers, C.E.P.R. Discussion Papers 5304, C.E.P.R. Discussion Papers.
  27. 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.
  28. 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, Department of Economics, UC San Diego qt66w826hz, Department of Economics, UC San Diego.