Half-Life Estimation based on the Bias-Corrected Bootstrap: A Highest Density Region Approach
Year of publication: |
2006-06
|
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Authors: | Kim, Jae ; Silvapulle, Param ; Hyndman, Rob J. |
Institutions: | Department of Econometrics and Business Statistics, Monash Business School |
Subject: | Autoregressive Model | Bias-correction | Bootstrapping | Confidence interval | Half-life | Highest density region |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Number 11/06 35 pages |
Classification: | C15 - Statistical Simulation Methods; Monte Carlo Methods ; C22 - Time-Series Models ; F37 - International Finance Forecasting and Simulation |
Source: |
-
A Conditional-Heteroskedasticity-Robust Confidence Interval for the Autoregressive Parameter
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Half-life estimation based on the bias-corrected bootstrap : a highest density region approach
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