Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity

By Sílvia Gonçalves, Lutz Kilian. 2007

110 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/eb67ed68994abc17228ed66922ad89f1636b5d44

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Citations in the corpus

Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension (2015, methodology): “This technique has been used, for example, by Lewis and Reinsel (1985) and Gonçalves and Kilian (2007) to establish central limit results for the estimation of an increasing number of autoregressive coefficients.”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, unknown): “3) we consider for the individual components of et the univariate innovation processes and parameter configurations used in Section 4 of Gonçalves and Kilian (2004), to which the reader is referred for further discussion.”
Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity (2009, unknown): “Gonçalvez and Kilian (2004) note that the asymptotic validity of the fixed design requires less restrictive assumptions on the volatility process than the recursive design; see also Gonçalvez and Kilian (2007).”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “A further bootstrap that can preserve heteroskadasticity in the resampled data is the pairs bootstrap; see, e.g., Gonçalves and Kilian (2007).”
Simultaneous Confidence Regions for Impulse Responses (2009, background): “The reader is referred to Kuersteiner (2001, 2002) and Gonçalves and Kilian (2007) for related applications.”
Inference in VARs with Conditional Heteroskedasticity of Unknown Form (2016, methodology): “In view of the papers by Gonçalves & Kilian (2004, 2007) on the univariate case, it is clear that an i.i.d. resampling of the residuals does not work in general.”
Adaptive Estimation of Autoregressive Models with Time-Varying Variances (2008, unknown): “lim T!1 EY[Tr]¡hY[Tr]¡h¡k = g(2)(r)°k; (15)”
Detection of Multiple Structural Breaks in Multivariate Time Series (2013, methodology): “…one-dimensional AR(∞) bootstrap introduced by Kreiss (1988) and has found considerable attention in the recent literature (see Choi and Hall 2000; Goncalves and Kilian 2007; or Berg, Paparoditis, and Politis 2010 among others); since it is easy to implement but has sufficient complexity to…”