Browsing Titles index "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form"
Now showing items 1-1 of 1
(Université de Montréal. Département de sciences économiques., 2003)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 ...