Model Checking Via Parametric Bootstraps in Time Series Analysis
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DOI: 10.2307/2347612
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Cited by:
- Zacharias Psaradakis, 1998. "Bootstrap-based evaluation of markov-switching time series models," Econometric Reviews, Taylor & Francis Journals, vol. 17(3), pages 275-288.
- Adriana Bortoluzzo & Pedro Morettin & Clelia Toloi, 2010. "Time-varying autoregressive conditional duration model," Journal of Applied Statistics, Taylor & Francis Journals, vol. 37(5), pages 847-864.
- E. E. Ioannidis & G. A. Chronis, 2005. "Extreme Spectra of Var Models and Orders of Near‐Cointegration," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(3), pages 399-421, May.
- Grunwald, Gary K. & Hyndman, Rob J., 1998. "Smoothing non-Gaussian time series with autoregressive structure," Computational Statistics & Data Analysis, Elsevier, vol. 28(2), pages 171-191, August.
- John P. Miller & Paul Newbold, 1995. "A GENERALIZED VARIANCE RATIO TEST OF ARIMA (p, 1, q) MODEL SPECIFICATION," Journal of Time Series Analysis, Wiley Blackwell, vol. 16(4), pages 403-413, July.
- Bortoluzzo, Adriana B. & Morettin, Pedro A. & Toloi, Clelia M. C., 2008. "Time-Varying Autoregressive Conditional Duration Model," Insper Working Papers wpe_174, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Vance L. Martin & Andrew R. Tremayne & Robert C. Jung, 2014. "Efficient Method Of Moments Estimators For Integer Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(6), pages 491-516, November.
- Andreea Röthig & Andreas Röthig & Carl Chiarella, 2015. "On Candlestick-based Trading Rules Profitability Analysis via Parametric Bootstraps and Multivariate Pair-Copula based Models," Research Paper Series 362, Quantitative Finance Research Centre, University of Technology, Sydney.
- Newbold, Paul & Leybourne, Stephen & Wohar, Mark E., 2001. "Trend-stationarity, difference-stationarity, or neither: further diagnostic tests with an application to U.S. Real GNP, 1875-1993," Journal of Economics and Business, Elsevier, vol. 53(1), pages 85-102.
- Yongning Wang & Ruey S. Tsay, 2013. "On Diagnostic Checking of Vector ARMA-GARCH Models with Gaussian and Student-t Innovations," Econometrics, MDPI, vol. 1(1), pages 1-31, April.
- Jentsch, Carsten & Weiß, Christian, 2017. "Bootstrapping INAR models," Working Papers 17-02, University of Mannheim, Department of Economics.
- Christian H. Weiß & Martin H.-J. M. Feld & Naushad Mamode Khan & Yuvraj Sunecher, 2019. "INARMA Modeling of Count Time Series," Stats, MDPI, vol. 2(2), pages 1-37, June.
- Nielsen, Henrik Aa. & Madsen, Henrik, 2001. "A generalization of some classical time series tools," Computational Statistics & Data Analysis, Elsevier, vol. 37(1), pages 13-31, July.
- Ristić Miroslav M. & Weiß Christian H. & Janjić Ana D., 2016. "A Binomial Integer-Valued ARCH Model," The International Journal of Biostatistics, De Gruyter, vol. 12(2), pages 1-21, November.
- Christian Weiß, 2015. "A Poisson INAR(1) model with serially dependent innovations," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(7), pages 829-851, October.
- Zhang, Michael Yuanjie & Russell, Jeffrey R. & Tsay, Ruey S., 2001. "A nonlinear autoregressive conditional duration model with applications to financial transaction data," Journal of Econometrics, Elsevier, vol. 104(1), pages 179-207, August.
- Robert C. Jung & Andrew R. Tremayne, 2020. "Maximum-Likelihood Estimation in a Special Integer Autoregressive Model," Econometrics, MDPI, vol. 8(2), pages 1-15, June.
- Cláudia Santos & Isabel Pereira & Manuel G. Scotto, 2021. "On the theory of periodic multivariate INAR processes," Statistical Papers, Springer, vol. 62(3), pages 1291-1348, June.
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