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Citations for "Bootstrapping Autoregressive and Moving Average Parameter Estimates of Infinite Order Vector Autoregressive Processes"

by Paparoditis, Efstathios

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  1. You, Jinhong & Zhou, Xian & Zhu, Li-Xing, 2009. "Inference on a regression model with noised variables and serially correlated errors," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1182-1197, July.
  2. Bouhaddioui, Chafik & Roy, Roch, 2006. "On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 58-68, January.
  3. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche 2003-16, Universite de Montreal, Departement de sciences economiques.
  4. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
  5. Marian Vavra, 2015. "On a Bootstrap Test for Forecast Evaluations," Working and Discussion Papers WP 5/2015, Research Department, National Bank of Slovakia.
  6. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010. "A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model," Econometric Theory, Cambridge University Press, vol. 26(03), pages 647-681, June.
  7. Taamouti, Abderrahim & Dufour, Jean-Marie, 2008. "Short and long run causality measures: theory and inference," UC3M Working papers. Economics we083720, Universidad Carlos III de Madrid. Departamento de Economía.
  8. Chafik Bouhaddioui & Roch Roy, 2004. "A Generalized Portmanteau Test for Independence of Two Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2004s-06, CIRANO.
  9. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
  10. DUFOUR, Jean-Marie & TAREK, Jouini, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 2005-09, Universite de Montreal, Departement de sciences economiques.
  11. Richard T. Baillie & George Kapetanios & Fotis Papailias, 2015. "Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes," Working Paper Series 15-46, The Rimini Centre for Economic Analysis.
  12. Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
  13. Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers 786.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  14. Dées, Stéphane & Holly, Sean & Pesaran, Hashem & Smith, Vanessa, 2007. "Long run macroeconomic relations in the global economy," Working Paper Series 0750, European Central Bank.
  15. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
  16. Meyer, Marco & Jentsch, Carsten & Kreiss, Jens-Peter, 2015. "Baxter`s inequality and sieve bootstrap for random fields," Working Papers 15-06, University of Mannheim, Department of Economics.
  17. Jeremy Berkowitz & Ionel Biegean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.).
  18. Peter Brockwell & Jens-Peter Kreiss & Tobias Niebuhr, 2014. "Bootstrapping continuous-time autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(1), pages 75-92, February.
  19. Ricardo Cao, 1999. "An overview of bootstrap methods for estimating and predicting in time series," TEST- An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(1), pages 95-116, June.
  20. Chafik Bouhaddioui & Roch Roy, 2003. "On the Distribution of the Residual Cross-Correlations between Two Uncorrelated Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2003s-41, CIRANO.
  21. Psaradakis, Zacharias, 2001. "On bootstrap inference in cointegrating regressions," Economics Letters, Elsevier, vol. 72(1), pages 1-10, July.
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