메뉴 건너뛰기




Volumn 81, Issue 4, 1999, Pages 594-607

The grid bootstrap and the autoregressive model

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040122116     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465399558463     Document Type: Article
Times cited : (214)

References (33)
  • 1
    • 21144465790 scopus 로고
    • The limiting distribution of the autocorrelation coefficient under a unit root
    • Abadir, K. M., "The Limiting Distribution of the Autocorrelation Coefficient under a Unit Root," The Annals of Statistics 21 (1993), 1058-1070.
    • (1993) The Annals of Statistics , vol.21 , pp. 1058-1070
    • Abadir, K.M.1
  • 2
    • 0001779878 scopus 로고
    • Estimation of the parameters of a single equation in a complete system of stochastic equations
    • Anderson, T. W., and H. Rubin, "Estimation of the Parameters of a Single Equation in a Complete System of Stochastic Equations," The Annals of Mathematical Statistics 20 (1949), 46-63.
    • (1949) The Annals of Mathematical Statistics , vol.20 , pp. 46-63
    • Anderson, T.W.1    Rubin, H.2
  • 3
    • 0000305808 scopus 로고
    • Exactly median-unbiased estimation of first-order autoregressive/unit root models
    • Andrews, D. W. K., "Exactly Median-Unbiased Estimation of First-Order Autoregressive/Unit Root Models," Econometrica 61 (1993), 139-166.
    • (1993) Econometrica , vol.61 , pp. 139-166
    • Andrews, D.W.K.1
  • 6
    • 0000424410 scopus 로고
    • Prepivoting to reduce level error of confidence sets
    • Beran, R., "Prepivoting to Reduce Level Error of Confidence Sets," Biometrika 74 (1987), 457-468.
    • (1987) Biometrika , vol.74 , pp. 457-468
    • Beran, R.1
  • 7
    • 0000485156 scopus 로고
    • Some asymptotic theory for the bootstrap
    • Bickel, P. J., and D. A. Freedman, "Some Asymptotic Theory for the Bootstrap," Annals of Statistics 9 (1981), 1196-1217.
    • (1981) Annals of Statistics , vol.9 , pp. 1196-1217
    • Bickel, P.J.1    Freedman, D.A.2
  • 8
    • 0001029192 scopus 로고
    • Edgeworth correction by bootstrap in autoregressions
    • Bose, A., "Edgeworth Correction by Bootstrap in Autoregressions," Annals of Statistics 16 (1989), 1709-1722.
    • (1989) Annals of Statistics , vol.16 , pp. 1709-1722
    • Bose, A.1
  • 10
    • 0002010584 scopus 로고
    • Quantile regression, censoring, and the structure of wages
    • C. Sims (ed.)
    • Chamberlain, G., "Quantile Regression, Censoring, and the Structure of Wages," in C. Sims (ed.), Advances in Econometrics: Sixth World Congress (1994), 171-209.
    • (1994) Advances in Econometrics: Sixth World Congress , pp. 171-209
    • Chamberlain, G.1
  • 13
    • 0002508638 scopus 로고
    • Nonparametric confidence limits by resampling methods and least favorable families
    • DiCiccio, T. J., and J. P. Romano, "Nonparametric Confidence Limits by Resampling Methods and Least Favorable Families," International Statistical Review 58 (1990), 59-76.
    • (1990) International Statistical Review , vol.58 , pp. 59-76
    • DiCiccio, T.J.1    Romano, J.P.2
  • 14
    • 0001414237 scopus 로고    scopus 로고
    • The uncertain unit root in real GNP: Comment
    • Diebold, F. X., and A. S. Senhadji, "The Uncertain Unit Root in Real GNP: Comment," American Economic Review 86 (1996), 1291-1298.
    • (1996) American Economic Review , vol.86 , pp. 1291-1298
    • Diebold, F.X.1    Senhadji, A.S.2
  • 15
    • 0000417969 scopus 로고    scopus 로고
    • Some impossibility theorems in econometrics with applications to structural and dynamic models
    • Dufour, J. M., "Some Impossibility Theorems in Econometrics with Applications to Structural and Dynamic Models," Econometrica 65 (1997), 1365-1387.
    • (1997) Econometrica , vol.65 , pp. 1365-1387
    • Dufour, J.M.1
  • 18
    • 0009277775 scopus 로고
    • Generating Monte Carlo confidence intervals by the Robbins-Monro process
    • Garthwaite, P. H., and S. T. Buckland, "Generating Monte Carlo Confidence Intervals by the Robbins-Monro Process," Applied Statistician 41 (1992), 159-171.
    • (1992) Applied Statistician , vol.41 , pp. 159-171
    • Garthwaite, P.H.1    Buckland, S.T.2
  • 19
    • 0000120408 scopus 로고
    • Theoretical comparison of bootstrap confidence intervals
    • Hall, P., "Theoretical Comparison of Bootstrap Confidence Intervals" (with discussion). Annals of Statistics 16 (1988), 927-985.
    • (1988) Annals of Statistics , vol.16 , pp. 927-985
    • Hall, P.1
  • 21
    • 84971943451 scopus 로고
    • Convergence to stochastic integrals for dependent heterogeneous processes
    • Hansen, B. E., "Convergence to Stochastic Integrals for Dependent Heterogeneous Processes," Econometric Theory 7 (1992), 489-500.
    • (1992) Econometric Theory , vol.7 , pp. 489-500
    • Hansen, B.E.1
  • 22
    • 84990495034 scopus 로고
    • Some properties of profile bootstrap confidence intervals
    • Kabaila, P., "Some Properties of Profile Bootstrap Confidence Intervals," Australian Journal of Statistics 35 (1993), 205-214.
    • (1993) Australian Journal of Statistics , vol.35 , pp. 205-214
    • Kabaila, P.1
  • 24
    • 21144483702 scopus 로고
    • Asymptotic expansions for random walks with normal errors
    • Knight, J. L., and S. E. Satchell, "Asymptotic Expansions for Random Walks with Normal Errors," Econometric Theory 10 (1993), 363-376.
    • (1993) Econometric Theory , vol.10 , pp. 363-376
    • Knight, J.L.1    Satchell, S.E.2
  • 25
  • 26
    • 0030525412 scopus 로고    scopus 로고
    • The level and power of the bootstrap t test in the AR(1) model with trend
    • Nankervis, J. C., and N. E. Savin, "The Level and Power of the Bootstrap t Test in the AR(1) Model with Trend," Journal of Business and Economic Statistics 14 (1996), 161-168.
    • (1996) Journal of Business and Economic Statistics , vol.14 , pp. 161-168
    • Nankervis, J.C.1    Savin, N.E.2
  • 27
    • 49049143455 scopus 로고
    • Trends and random walks in macroeconomic time series
    • Nelson, C. R., and C. I. Plosser, "Trends and Random Walks in Macroeconomic Time Series," Journal of Monetary Economics 10 (1982), 139-162.
    • (1982) Journal of Monetary Economics , vol.10 , pp. 139-162
    • Nelson, C.R.1    Plosser, C.I.2
  • 28
    • 0001347684 scopus 로고
    • Approximations to some finite sample distributions associated with a first-order stochastic difference equation
    • Phillips, P. C. B., "Approximations to Some Finite Sample Distributions Associated with a First-Order Stochastic Difference Equation," Econometrica 45 (1977), 463-485.
    • (1977) Econometrica , vol.45 , pp. 463-485
    • Phillips, P.C.B.1
  • 33
    • 0039925680 scopus 로고
    • Confidence intervals for the largest autoregressive root in U.S. macroeconomic time series
    • Stock, J. H., "Confidence Intervals for the Largest Autoregressive Root in U.S. Macroeconomic Time Series," Journal of Monetary Economics 28 (1991), 435-460.
    • (1991) Journal of Monetary Economics , vol.28 , pp. 435-460
    • Stock, J.H.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.