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In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models.
Persistent link: https://www.econbiz.de/10005729533
Presently, conditions ensuring the validity of bootstrap methods for sample mean of (possibly heterogeneous) near epoch dependent (NED) functions of mixing processes are known. Here we establish the validity of the bootstrap in this context, extending the applicability of bootstrap methods to a...
Persistent link: https://www.econbiz.de/10005729620