Bootstrapping autoregression under non-stationary volatility

Econometrics Journal

Volumn 11, Issue 1, 2008, Pages 1-26

  Xu, Ke Li ^a  

^a UNIVERSITY OF ALBERTA   (Canada)

Author keywords

Autoregression; Bootstrap; Deterministic trend; Mixed Gaussian; Non stationary volatility; Robust inference; Spurious regression; Stochastic volatility; Wild bootstrap

Indexed keywords

EID: 40149103462     PISSN: 13684221     EISSN: 1368423X     Source Type: Journal    
DOI: 10.1111/j.1368-423X.2008.00235.x     Document Type: Article

References (57)