Search
Now showing items 1-1 of 1
Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form
(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 ...