Asymptotic and Bootstrap Inference for AR(<i>Infinite</i>) Processes with Conditional Heteroskedasticity
Year of publication: |
2003-05-01
|
---|---|
Authors: | Gonçalves, Sílvia ; Kilian, Lutz |
Institutions: | Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) |
Subject: | infinite autoregression | conditional heteroskedasticity | wild bootstrap | pairwise bootstrap | autoregression d'ordre infini | hétéroscédasticité conditionnelle | bootstrap par couples |
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