Higher-order Improvements of the Parametric Bootstrap for Markov Processes
Year of publication: |
2001-10
|
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Authors: | Andrews, Donald W.K. |
Institutions: | Cowles Foundation for Research in Economics, Yale University |
Subject: | Asymptotics | Edgeworth expansion | Gauss-Newton | k-step bootstrap | maximum likelihood estimator | Newton-Raphson | parametric bootstrap | t statistic |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Published in D.W.K. Andrews and J.H. Stock, eds., Identification and Inference for Econometric Models: A Festschrift in Honor of Thomas J. Rothenberg, Cambridge University Press, 2005, pp. 171-215 The price is None Number 1334 51 pages |
Classification: | C12 - Hypothesis Testing ; C13 - Estimation ; C15 - Statistical Simulation Methods; Monte Carlo Methods |
Source: |
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Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators
Andrews, Donald W.K., (1999)
-
Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators
Andrews, Donald W.K., (1999)
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Higher-order Improvements of the Parametric Bootstrap for Long-memory Gaussian Processes
Andrews, Donald W.K., (2002)
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First Order Autoregressive Processes and Strong Mixing
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On the Performance of Least Squares in Linear Regression with Undefined Error Means
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