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Browsing Faculté des arts et des sciences – Département de sciences économiques - Travaux et publications by Subject "wild bootstrap"

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  • Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form 

    Gonçalves, Sílvia; KILIAN, Lutz (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 ...