Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models-Reference-Cited by-同舟云学术

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Bootstrapping Two-Stage Quasi-Maximum Likelihood Estimators of Time Series Models

Published:2022-05-09 Issue: Volume: Page:1-12
ISSN:0735-0015
Container-title:Journal of Business & Economic Statistics
language:en
Short-container-title:Journal of Business & Economic Statistics

Author:

Gonçalves Sílvia¹,Hounyo Ulrich²,Patton Andrew J.³,Sheppard Kevin⁴

Affiliation:

1. Department of Economics, McGill University, Montreal, Quebec, Canada;

2. Department of Economics, University at Albany, SUNY, New York, NY;

3. Department of Economics, Duke University, Durham, NC;

4. Department of Economics, University of Oxford, Oxford, UK

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/07350015.2022.2058949

Reference35 articles.

1. Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation

2. Higher-Order Improvements of a Computationally Attractive k-Step Bootstrap for Extremum Estimators

3. A fast resample method for parametric and semiparametric models

4. Two-Step Estimation and Inference with Possibly Many Included Covariates

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