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A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
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Conditional Value-at-Risk : semiparametric estimation and inference
Wang, Chuan-Sheng; Zhao, Zhibiao - In: Journal of econometrics 195 (2016) 1, pp. 86-103
Persistent link: https://www.econbiz.de/10011705234
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Bagging in tourism demand modeling and forecasting
Athanasopoulos, George; Song, Haiyan; Sun, Jonathan A. - In: Journal of travel research : a quarterly publication of … 57 (2018) 1, pp. 52-68
Persistent link: https://www.econbiz.de/10011915335
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Mixed-scale jump regressions with bootstrap inference
Li, Jia; Todorov, Viktor; Tauchen, George Eugene; Chen, Rui - In: Journal of econometrics 201 (2017) 2, pp. 417-432
Persistent link: https://www.econbiz.de/10011920538
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Model selection for nonlinear time series
Manzan, Sebastiano - In: Empirical economics : a journal of the Institute for … 29 (2004) 4, pp. 901-920
Persistent link: https://www.econbiz.de/10002479119
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Monitoring structural changes in regression with long memory processes
Tsay, Wen-jen - 2009
Persistent link: https://www.econbiz.de/10003929706
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Bootstrap inference in local polynomial regression of time series
Parrella, Maria Lucia; Vitale, Cosimo - In: Statistical methods & applications : SMA ; journal of … 16 (2007) 1, pp. 17-139
Persistent link: https://www.econbiz.de/10003489180
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Selection of the number of frequencies using bootstrap techniques in log-periodogram regression
Arteche, Josu; Orbe, Jesus - 2008
Persistent link: https://www.econbiz.de/10003848261
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A Simple Adjustment for Bandwidth Snooping
Armstrong, Timothy - 2016
Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is...
Persistent link: https://www.econbiz.de/10012981018
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A Simple Adjustment for Bandwidth Snooping
Armstrong, Timothy - 2014
Kernel-based estimators are often evaluated at multiple bandwidths as a form of sensitivity analysis. However, if in the reported results, a researcher selects the bandwidth based on this analysis, the associated confidence intervals may not have correct coverage, even if the estimator is...
Persistent link: https://www.econbiz.de/10013043191