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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - In: Journal of econometrics 123 (2004) 1, pp. 89-120
Persistent link: https://www.econbiz.de/10002223733
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia (contributor); Kilian, Lutz (contributor) - 2003 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001947544
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Impulse response analysis for structural dynamic models with nonlinear regressors
Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2020
Persistent link: https://www.econbiz.de/10012387973
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When do state-dependent local projections work?
Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2022
Persistent link: https://www.econbiz.de/10013332588
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State-dependent local projections
Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2023
Persistent link: https://www.econbiz.de/10014311197
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When do state-dependent local projections work?
Gonçalves, Sílvia; Herrera, Ana María; Kilian, Lutz; … - 2022
Persistent link: https://www.econbiz.de/10013187676
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - 2002
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....
Persistent link: https://www.econbiz.de/10011431797
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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia - 2002
Persistent link: https://www.econbiz.de/10013434522
Cover Image
Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
Gonçalves, Sílvia; Kilian, Lutz - 2002
Conditional heteroskedasticity is an important feature of many macroeconomic and financial time series. Standard residual-based bootstrap procedures for dynamic regression models treat the regression error as i.i.d. These procedures are invalid in the presence of conditional heteroskedasticity....
Persistent link: https://www.econbiz.de/10001727625
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The moving blocks bootstrap for panel linear regression models with individual fixed effects
Gonçalves, Sílvia - In: Econometric theory 27 (2011) 5, pp. 1048-1082
Persistent link: https://www.econbiz.de/10009379757