IDEAS home Printed from https://ideas.repec.org/r/eee/econom/v82y1998i2p235-287.html
   My bibliography  Save this item

The moving blocks bootstrap and robust inference for linear least squares and quantile regressions

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 14(4), pages 693-724.
  2. Goncalves, Silvia & White, Halbert, 2004. "Maximum likelihood and the bootstrap for nonlinear dynamic models," Journal of Econometrics, Elsevier, vol. 119(1), pages 199-219, March.
  3. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
  4. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
  5. Gon alves, S lvia & White, Halbert, 2002. "The Bootstrap Of The Mean For Dependent Heterogeneous Arrays," Econometric Theory, Cambridge University Press, vol. 18(06), pages 1367-1384, December.
  6. Gonzalez-Rivera, Gloria & Lee, Tae-Hwy & Mishra, Santosh, 2004. "Forecasting volatility: A reality check based on option pricing, utility function, value-at-risk, and predictive likelihood," International Journal of Forecasting, Elsevier, vol. 20(4), pages 629-645.
  7. GONÇALVES, Silvia & WHITE, Halbert, 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Universite de Montreal, Departement de sciences economiques.
  8. Wolters, Maik H., 2012. "Estimating monetary policy reaction functions using quantile regressions," Journal of Macroeconomics, Elsevier, vol. 34(2), pages 342-361.
  9. Buettner, Thiess, 2001. "Local business taxation and competition for capital: the choice of the tax rate," Regional Science and Urban Economics, Elsevier, vol. 31(2-3), pages 215-245, April.
  10. Wiji Arulampalam & Alison L. Booth & Mark L. Bryan, 2007. "Is There a Glass Ceiling over Europe? Exploring the Gender Pay Gap across the Wage Distribution," ILR Review, Cornell University, ILR School, vol. 60(2), pages 163-186, January.
  11. Parente, Paulo M.D.C. & Smith, Richard J., 2011. "Gel Methods For Nonsmooth Moment Indicators," Econometric Theory, Cambridge University Press, vol. 27(01), pages 74-113, February.
  12. Sascha O. Becker & Peter H. Egger & Maximilian von Ehrlich, 2013. "Absorptive Capacity and the Growth and Investment Effects of Regional Transfers: A Regression Discontinuity Design with Heterogeneous Treatment Effects," American Economic Journal: Economic Policy, American Economic Association, vol. 5(4), pages 29-77, November.
  13. Eric Hillebrand & Tae-Hwy Lee & Marcelo C. Medeiros, 2012. "Let's Do It Again: Bagging Equity Premium Predictors," CREATES Research Papers 2012-41, Department of Economics and Business Economics, Aarhus University.
  14. Thiess Büttner, 1999. "Determinants of Tax Rates in Local Capital Income Taxation: A Theoretical Model and Evidence from Germany," FinanzArchiv: Public Finance Analysis, Mohr Siebeck, Tübingen, vol. 56(3/4), pages 363-363, July.
  15. Yang Yang & Tae-Hwy Lee, 2004. "Bagging Binary Predictors for Time Series," Econometric Society 2004 Far Eastern Meetings 512, Econometric Society.
  16. Egger, Peter & Wamser, Georg, 2011. "The Impact of Controlled Foreign Company Legislation on Real Investments Abroad: A Two-dimensional Regression Discontinuity Design," CEPR Discussion Papers 8460, C.E.P.R. Discussion Papers.
  17. Bernd Fitzenberger & Ralf Wilke, 2006. "Using quantile regression for duration analysis," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 105-120, March.
  18. Leorato, Samantha & Peracchi, Franco & Tanase, Andrei V., 2012. "Asymptotically efficient estimation of the conditional expected shortfall," Computational Statistics & Data Analysis, Elsevier, vol. 56(4), pages 768-784.
  19. repec:taf:applec:v:49:y:2017:i:32:p:3163-3180 is not listed on IDEAS
  20. Egger, Peter & Radulescu, Doina, 2014. "A test of the Bolton–Scheinkman–Xiong hypothesis of how speculation affects the vesting time of options granted to directors," Journal of Corporate Finance, Elsevier, vol. 29(C), pages 511-519.
  21. Guosheng Yin & Jianwen Cai, 2005. "Quantile Regression Models with Multivariate Failure Time Data," Biometrics, The International Biometric Society, vol. 61(1), pages 151-161, March.
  22. Wolf, Michael & Romano, Joseph P., 2001. "Improved nonparametric confidence intervals in time series regressions," DES - Working Papers. Statistics and Econometrics. WS ws010201, Universidad Carlos III de Madrid. Departamento de Estadística.
  23. Ivana Komunjer, 2007. "Asymmetric power distribution: Theory and applications to risk measurement," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 22(5), pages 891-921.
  24. repec:aen:journl:ej38-4-hurn is not listed on IDEAS
  25. repec:sgh:erfinj:v:3:y:2018:i:1:p:1-26 is not listed on IDEAS
  26. Wilke, Ralf A. & Fitzenberger, Bernd & Zhang, Xuan, 2004. "A Note on Implementing Box-Cox Quantile Regression," ZEW Discussion Papers 04-61, ZEW - Leibniz Centre for European Economic Research.
  27. Becker, Sascha O. & Egger, Peter & von Ehrlich, Maximilian, 2011. "Absorptive Capacity and the Growth Effects of Regional Transfers: A Regression Discontinuity Design with Heterogeneous Treatment Effects," CEPR Discussion Papers 8474, C.E.P.R. Discussion Papers.
  28. Jan Peter aus dem Moore & Alexandra Spitz-Oener, 2012. "Bye Bye, G.I. - The Impact of the U.S. Military Drawdown on Local German Labor Markets," SFB 649 Discussion Papers SFB649DP2012-024, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
  29. Bernd Fitzenberger & Gaby Wunderlich, 2002. "Gender Wage Differences in West Germany: A Cohort Analysis," German Economic Review, Verein für Socialpolitik, vol. 3(4), pages 379-414, November.
  30. Jose A. F. Machado & Jose Mata, 2000. "Box-Cox quantile regression and the distribution of firm sizes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(3), pages 253-274.
  31. repec:bla:intfin:v:21:y:2018:i:2:p:195-213 is not listed on IDEAS
  32. Yeonwoo Rho & Xiaofeng Shao, 2015. "Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 444-457, July.
  33. Henrik Amilon, 2003. "A neural network versus Black-Scholes: a comparison of pricing and hedging performances," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 317-335.
  34. Buettner, Thiess, 1999. "Local Capital Income Taxation and Competition for Capital: The Choice of the Tax Rate," ERSA conference papers ersa99pa180, European Regional Science Association.
  35. Garratt, Anthony & Psaradakis, Zacharias & Sola, Martin, 2001. "An empirical reassessment of target-zone nonlinearities," Journal of International Money and Finance, Elsevier, vol. 20(4), pages 533-548, August.
  36. Peter Egger & Christian Keuschnigg & Valeria Merlo & Georg Wamser, 2014. "Corporate Taxes and Internal Borrowing within Multinational Firms," American Economic Journal: Economic Policy, American Economic Association, vol. 6(2), pages 54-93, May.
  37. repec:taf:gnstxx:v:29:y:2017:i:2:p:447-475 is not listed on IDEAS
  38. Bravo, Francesco & Crudu, Federico, 2012. "Efficient bootstrap with weakly dependent processes," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
  39. Daniel Ordoñez‐Callamand & Mauricio Villamizar‐Villegas & Luis F. Melo‐Velandia, 2018. "Foreign exchange intervention revisited: A new way of estimating censored models," International Finance, Wiley Blackwell, vol. 21(2), pages 195-213, June.
  40. repec:wyi:journl:002126 is not listed on IDEAS
  41. Hidalgo, Javier, 2003. "An alternative bootstrap to moving blocks for time series regression models," Journal of Econometrics, Elsevier, vol. 117(2), pages 369-399, December.
  42. Movshuk, Oleksandr, 2003. "Does the choice of detrending method matter in demand analysis?," Japan and the World Economy, Elsevier, vol. 15(3), pages 341-359, August.
  43. Sascha Becker & Peter Egger, 2013. "Endogenous product versus process innovation and a firm’s propensity to export," Empirical Economics, Springer, vol. 44(1), pages 329-354, February.
  44. M. -Y. Chen & F. -L. Lin & C. -K. Chang, 2009. "Relations between health care expenditure and income: an application of local quantile regressions," Applied Economics Letters, Taylor & Francis Journals, vol. 16(2), pages 177-181.
  45. Gloria González-Rivera & Tae-Hwy Lee, 2007. "Nonlinear Time Series in Financial Forecasting," Working Papers 200803, University of California at Riverside, Department of Economics, revised Feb 2008.
  46. Bilias, Yannis & Chen, Songnian & Ying, Zhiliang, 2000. "Simple resampling methods for censored regression quantiles," Journal of Econometrics, Elsevier, vol. 99(2), pages 373-386, December.
  47. Lee, Tae-Hwy & Yang, Yang, 2006. "Bagging binary and quantile predictors for time series," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 465-497.
  48. Sherrilyn Billger & Carlos Lamarche, 2015. "A panel data quantile regression analysis of the immigrant earnings distribution in the United Kingdom and United States," Empirical Economics, Springer, vol. 49(2), pages 705-750, September.
  49. Bernd Fitzenberger & Ralf A. Wilke & Xuan Zhang, 2010. "Implementing Box-Cox Quantile Regression," Econometric Reviews, Taylor & Francis Journals, vol. 29(2), pages 158-181, April.
IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.