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A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators
Giacomini, Raffaella; Politis, Dimitris N.; White, Halbert - 2012
Persistent link: https://www.econbiz.de/10009554396
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Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models
Parente, Paulo M. D. C.; Smith, Richard J. - 2019 - This Draft: October 2019
to the distribution of the quasi-maximum likelihood estimator. A set of simulation experiments for the mean regression …
Persistent link: https://www.econbiz.de/10012115888
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Forecast evaluation with shared data sets
Sullivan, Ryan - 2001
Persistent link: https://www.econbiz.de/10013423660
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Implied probability kernel block bootstrap for times series moment condition models
Parente, Paulo M. D. C.; Smith, Richard J. - 2024
This article generalizes and extends the kernel block bootstrap (KBB) method of Parente and Smith (2018, 2021) to provide a comprehensive treatment of its use for GMM estimation and inference in time-series models formulated in terms of moment conditions. KBB procedures that employ bootstrap...
Persistent link: https://www.econbiz.de/10014520806