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A Fast Subsampling Method for Nonlinear Dynamic Models

Author

Listed:
  • Han Hong

    (Crest)

  • Olivier Scaillet

    (Crest)

  • Elie Tamer

    (Crest)

Abstract

We Highlight a fast subsampling method that can be used to provide valid inference in nonlinear dynamic econometric models.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Han Hong & Olivier Scaillet & Elie Tamer, 2001. "A Fast Subsampling Method for Nonlinear Dynamic Models," Working Papers 2001-39, Center for Research in Economics and Statistics.
    • Handle: RePEc:crs:wpaper:2001-39
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    Citations

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    Cited by:

    1. is not listed on IDEAS
    2. Wang, Bin & Zheng, Xu, 2022. "Testing for the presence of jump components in jump diffusion models," Journal of Econometrics, Elsevier, vol. 230(2), pages 483-509.
    3. A. Belloni & V. Chernozhukov & I. Fernández‐Val & C. Hansen, 2017. "Program Evaluation and Causal Inference With High‐Dimensional Data," Econometrica, Econometric Society, vol. 85, pages 233-298, January.
    4. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
    5. Aristide Houndetoungan & Abdoul Haki Maoude, 2024. "Inference for Two-Stage Extremum Estimators," Thema Working Papers 2024-01, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS.
    6. La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023. "A higher-order correct fast moving-average bootstrap for dependent data," Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
    7. Lorenzo Camponovo & Olivier Scaillet & Fabio Trojani, 2017. "Comment on: Nonparametric Tail Risk, Stock Returns, and the Macroeconomy," Journal of Financial Econometrics, Oxford University Press, vol. 15(3), pages 377-387.
    8. Jean-Jacques Forneron, 2022. "Estimation and Inference by Stochastic Optimization," Papers 2205.03254, arXiv.org.
    9. Forneron, Jean-Jacques, 2024. "Estimation and inference by stochastic optimization," Journal of Econometrics, Elsevier, vol. 238(2).
    10. Lorenzo Camponovo & O. Scaillet & Fabio Trojani, 2013. "Predictability Hidden by Anomalous Observations," Swiss Finance Institute Research Paper Series 13-05, Swiss Finance Institute.
    11. Camponovo, Lorenzo & Scaillet, Olivier & Trojani, Fabio, 2012. "Robust subsampling," Journal of Econometrics, Elsevier, vol. 167(1), pages 197-210.
    12. Alexandre Belloni & Victor Chernozhukov & Ivan Fernandez-Val & Christian Hansen, 2013. "Program evaluation with high-dimensional data," CeMMAP working papers CWP77/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    13. Tao Zou & Xian Li & Xuan Liang & Hansheng Wang, 2021. "On the Subbagging Estimation for Massive Data," Papers 2103.00631, arXiv.org.
    14. Paulo M. D. C. Parente & Richard J. Smith, 2021. "Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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