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A fast Subsampling Method for Nonlinear Dynamic Models

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

We Highlight a fast subsampling method that can be used to provide valid inference in nonlinear dynamic econometric models.

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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
Contact details of provider: 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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  1. Andrews, Donald W K, 2001. "Testing When a Parameter Is on the Boundary of the Maintained Hypothesis," Econometrica, Econometric Society, vol. 69(3), pages 683-734, May.
  2. 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.
  3. repec:cup:cbooks:9780521477451 is not listed on IDEAS
  4. Donald W.K. Andrews, 1999. "Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators," Cowles Foundation Discussion Papers 1230R, Cowles Foundation for Research in Economics, Yale University, revised Jan 2001.
  5. 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.
  6. repec:cup:cbooks:9780521471626 is not listed on IDEAS
  7. Davidson, R. & Mackinnon, J.G., 1997. "Bootstrap Testing in Nonlinear Models," G.R.E.Q.A.M. 97a39, Universite Aix-Marseille III.
  8. Sílvia Gonçalves & Halbert White, 2002. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," CIRANO Working Papers 2002s-41, CIRANO.
  9. Weiss, Andrew A., 1986. "Asymptotic Theory for ARCH Models: Estimation and Testing," Econometric Theory, Cambridge University Press, vol. 2(01), pages 107-131, April.
  10. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
  11. repec:cup:cbooks:9780521477444 is not listed on IDEAS
  12. Donald W. K. Andrews, 1999. "Estimation When a Parameter Is on a Boundary," Econometrica, Econometric Society, vol. 67(6), pages 1341-1384, November.
  13. repec:cup:cbooks:9780521405515 is not listed on IDEAS
  14. 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.
  15. White, Halbert, 1982. "Maximum Likelihood Estimation of Misspecified Models," Econometrica, Econometric Society, vol. 50(1), pages 1-25, January.
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