Improved nonparametric confidence intervals in time series regressions
Author
Abstract
Suggested Citation
Download full text from publisher
Other versions of this item:
- Joseph P. Romano & Michael Wolf, 2006. "Improved Nonparametric Confidence Intervals in Time Series Regressions," IEW - Working Papers 273, Institute for Empirical Research in Economics - University of Zurich.
- Romano, Joseph P. & Wolf, Michael, 2001. "Improved nonparametric confidence intervals in time series regressions," DES - Working Papers. Statistics and Econometrics. WS ws010201, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
References listed on IDEAS
- Whitney K. Newey & Kenneth D. West, 1994.
"Automatic Lag Selection in Covariance Matrix Estimation,"
The Review of Economic Studies, Review of Economic Studies Ltd, vol. 61(4), pages 631-653.
- Newey, W.K. & West, K.D., 1992. "Automatic Lag Selection in Covariance Matrix Estimation," Working papers 9220, Wisconsin Madison - Social Systems.
- Kenneth D. West & Whitney K. Newey, 1995. "Automatic Lag Selection in Covariance Matrix Estimation," NBER Technical Working Papers 0144, National Bureau of Economic Research, Inc.
- Fitzenberger, Bernd, 1998. "The moving blocks bootstrap and robust inference for linear least squares and quantile regressions," Journal of Econometrics, Elsevier, vol. 82(2), pages 235-287, February.
- Andrews, Donald W K, 1991.
"Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation,"
Econometrica, Econometric Society, vol. 59(3), pages 817-858, May.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
- Donald W. K. Andrews, 2002.
"Higher-Order Improvements of a Computationally Attractive "k"-Step Bootstrap for Extremum Estimators,"
Econometrica, Econometric Society, vol. 70(1), pages 119-162, January.
- Donald W.K. Andrews, 1999. "Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators," Cowles Foundation Discussion Papers 1230, Cowles Foundation for Research in Economics, Yale University.
- Donald W.K. Andrews, 1999. "Higher-Order Improvements of a Computationally Attractive-Step Bootstrap for Extremum Estimators," Cowles Foundation Discussion Papers 1230R, Cowles Foundation for Research in Economics, Yale University, revised Jan 2001.
- Gonçalves, Sílvia & White, Halbert, 2002.
"The Bootstrap Of The Mean For Dependent Heterogeneous Arrays,"
Econometric Theory, Cambridge University Press, vol. 18(6), pages 1367-1384, December.
- GONÇALVES, Silvia & WHITE, Halbert, 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Universite de Montreal, Departement de sciences economiques.
- Silvia Gonçalves & Halbert White, 2001. "The Bootstrap of the Mean for Dependent Heterogeneous Arrays," CIRANO Working Papers 2001s-19, CIRANO.
- Goncalves, S. & White, H., 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Howard White, 1996. "Adjustment in Africa," Development and Change, International Institute of Social Studies, vol. 27(4), pages 785-815, October.
- Politis, D. N. & Romano, Joseph P. & Wolf, Michael, 1997. "Subsampling for heteroskedastic time series," Journal of Econometrics, Elsevier, vol. 81(2), pages 281-317, December.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Andrews, Donald W K & Monahan, J Christopher, 1992.
"An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator,"
Econometrica, Econometric Society, vol. 60(4), pages 953-966, July.
- Donald W.K. Andrews & Christopher J. Monahan, 1990. "An Improved Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimator," Cowles Foundation Discussion Papers 942, Cowles Foundation for Research in Economics, Yale University.
- Lahiri, Soumendra Nath, 1996. "On Edgeworth Expansion and Moving Block Bootstrap for StudentizedM-Estimators in Multiple Linear Regression Models," Journal of Multivariate Analysis, Elsevier, vol. 56(1), pages 42-59, January.
- Davidson, Russell & MacKinnon, James G., 1981. "Efficient estimation of tail-area probabilities in sampling experiments," Economics Letters, Elsevier, vol. 8(1), pages 73-77.
- Horowitz, Joel L., 2001. "The bootstrap and hypothesis tests in econometrics," Journal of Econometrics, Elsevier, vol. 100(1), pages 37-40, January.
- Hall, Peter & Horowitz, Joel L, 1996. "Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators," Econometrica, Econometric Society, vol. 64(4), pages 891-916, July.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Jose Dias Curto & Jose Castro Pinto, 2009. "The coefficient of variation asymptotic distribution in the case of non-iid random variables," Journal of Applied Statistics, Taylor & Francis Journals, vol. 36(1), pages 21-32.
- Ledoit, Oliver & Wolf, Michael, 2008.
"Robust performance hypothesis testing with the Sharpe ratio,"
Journal of Empirical Finance, Elsevier, vol. 15(5), pages 850-859, December.
- Oliver Ledoit & Michael Wolf, 2008. "Robust Performance Hypothesis Testing with the Sharpe Ratio," IEW - Working Papers 320, Institute for Empirical Research in Economics - University of Zurich.
- Olivier Ledoit & Michael Wolf, 2018. "Robust performance hypothesis testing with smooth functions of population moments," ECON - Working Papers 305, Department of Economics - University of Zurich.
- Yeonwoo Rho & Xiaofeng Shao, 2015. "Inference for Time Series Regression Models With Weakly Dependent and Heteroscedastic Errors," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 33(3), pages 444-457, July.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018.
"Portfolio performance of linear SDF models: an out-of-sample assessment,"
Quantitative Finance, Taylor & Francis Journals, vol. 18(8), pages 1425-1436, August.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," Working Papers 627, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Massimo Guidolin & Erwin Hansen & Martín Lozano-Banda, 2018. "Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment," BAFFI CAREFIN Working Papers 1885, BAFFI CAREFIN, Centre for Applied Research on International Markets Banking Finance and Regulation, Universita' Bocconi, Milano, Italy.
- Joseph Romano & Azeem Shaikh & Michael Wolf, 2008.
"Control of the false discovery rate under dependence using the bootstrap and subsampling,"
TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 17(3), pages 417-442, November.
- Joseph P. Romano & Azeem M. Shaikh & Michael Wolf, 2008. "Control of the False Discovery Rate under Dependence using the Bootstrap and Subsampling," IEW - Working Papers 337, Institute for Empirical Research in Economics - University of Zurich.
- Joseph P. Romano & Michael Wolf, 2005.
"Stepwise Multiple Testing as Formalized Data Snooping,"
Econometrica, Econometric Society, vol. 73(4), pages 1237-1282, July.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise Multiple Testing as Formalized Data Snooping," Working Papers 17, Barcelona School of Economics.
- Joseph P. Romano & Michael Wolf, 2003. "Stepwise multiple testing as formalized data snooping," Economics Working Papers 712, Department of Economics and Business, Universitat Pompeu Fabra.
- Romano, Joseph P. & Shaikh, Azeem M. & Wolf, Michael, 2008.
"Formalized Data Snooping Based On Generalized Error Rates,"
Econometric Theory, Cambridge University Press, vol. 24(2), pages 404-447, April.
- Joseph P & Romano & Azeem M. Shaikh & Michael Wolf, 2005. "Formalized Data Snooping Based on Generalized Error Rates," IEW - Working Papers 259, Institute for Empirical Research in Economics - University of Zurich.
- Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
- Auer, Benjamin R. & Schuhmacher, Frank, 2013. "Performance hypothesis testing with the Sharpe ratio: The case of hedge funds," Finance Research Letters, Elsevier, vol. 10(4), pages 196-208.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Paulo M. D. C. Parente & Richard J. Smith, 2021.
"Quasi‐maximum likelihood and the kernel block bootstrap for nonlinear dynamic models,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 42(4), pages 377-405, July.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Quasi-Maximum Likelihood and the Kernel Block Bootstrap for Nonlinear Dynamic Models," Working Papers REM 2018/59, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Paulo Parente & Richard J. Smith, 2019. "Quasi-maximum likelihood and the kernel block bootstrap for nonlinear dynamic models," CeMMAP working papers CWP60/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
- Goncalves, Silvia & White, Halbert, 2004.
"Maximum likelihood and the bootstrap for nonlinear dynamic models,"
Journal of Econometrics, Elsevier, vol. 119(1), pages 199-219, March.
- Goncalves, Silvia & White, Halbert, 2000. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," University of California at San Diego, Economics Working Paper Series qt1bj657ff, Department of Economics, UC San Diego.
- Goncalves, Silvia & White, Halbert, 2002. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," University of California at San Diego, Economics Working Paper Series qt8hx21540, Department of Economics, UC San Diego.
- Silvia Gonçalves & Halbert White, 2002. "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," CIRANO Working Papers 2002s-41, CIRANO.
- Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011.
"Empirical likelihood block bootstrapping,"
Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
- Jason Allen & Allan Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Working Paper 1156, Economics Department, Queen's University.
- Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi & 下津, 克己, 2010. "Empirical Likelihood Block Bootstrapping," Discussion Papers 2010-01, Graduate School of Economics, Hitotsubashi University.
- Jason Allen & Allan Gregory & Katsumi Shimotsu, 2008. "Empirical Likelihood Block Bootstrapping," Staff Working Papers 08-18, Bank of Canada.
- Härdle, Wolfgang & Horowitz, Joel L. & Kreiss, Jens-Peter, 2001. "Bootstrap methods for time series," SFB 373 Discussion Papers 2001,59, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
- Inoue, Atsushi & Shintani, Mototsugu, 2006.
"Bootstrapping GMM estimators for time series,"
Journal of Econometrics, Elsevier, vol. 133(2), pages 531-555, August.
- Atsushi Inoue & Mototsugu Shintani, 2001. "Bootstrapping GMM Estimators for Time Series," Vanderbilt University Department of Economics Working Papers 0129, Vanderbilt University Department of Economics, revised Aug 2003.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2023.
"A higher-order correct fast moving-average bootstrap for dependent data,"
Journal of Econometrics, Elsevier, vol. 235(1), pages 65-81.
- Davide La Vecchia & Alban Moor & Olivier Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Papers 2001.04867, arXiv.org, revised Jan 2022.
- La Vecchia, Davide & Moor, Alban & Scaillet, Olivier, 2020. "A higher-order correct fast moving-average bootstrap for dependent data," Working Papers unige:129395, University of Geneva, Geneva School of Economics and Management.
- Davide La Vecchia & Alban Moor & O. Scaillet, 2020. "A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data," Swiss Finance Institute Research Paper Series 20-01, Swiss Finance Institute.
- Gonçalves, Sílvia & White, Halbert, 2002.
"The Bootstrap Of The Mean For Dependent Heterogeneous Arrays,"
Econometric Theory, Cambridge University Press, vol. 18(6), pages 1367-1384, December.
- Goncalves, S. & White, H., 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- GONÇALVES, Silvia & WHITE, Halbert, 2001. "The Bootstrap of Mean for Dependent Heterogeneous Arrays," Cahiers de recherche 2001-19, Universite de Montreal, Departement de sciences economiques.
- Silvia Gonçalves & Halbert White, 2001. "The Bootstrap of the Mean for Dependent Heterogeneous Arrays," CIRANO Working Papers 2001s-19, CIRANO.
- Wolfgang Härdle & Joel Horowitz & Jens‐Peter Kreiss, 2003. "Bootstrap Methods for Time Series," International Statistical Review, International Statistical Institute, vol. 71(2), pages 435-459, August.
- Yixiao Sun & Peter C.B. Phillips, 2008. "Optimal Bandwidth Choice for Interval Estimation in GMM Regression," Cowles Foundation Discussion Papers 1661, Cowles Foundation for Research in Economics, Yale University.
- Jeremy Berkowitz & Lutz Kilian, 2000.
"Recent developments in bootstrapping time series,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
- Jeremy Berkowitz & Lutz Kilian, "undated". "Recent Developments in Bootstrapping Time Series," Finance and Economics Discussion Series 1996-45, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
- Jeremy Berkowitz & Lutz Kilian, 1996. "Recent developments in bootstrapping time series," Finance and Economics Discussion Series 96-45, Board of Governors of the Federal Reserve System (U.S.).
- Firmin Doko Tchatoka & Qazi Haque, 2023.
"On bootstrapping tests of equal forecast accuracy for nested models,"
Journal of Forecasting, John Wiley & Sons, Ltd., vol. 42(7), pages 1844-1864, November.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," Economics Discussion / Working Papers 20-06, The University of Western Australia, Department of Economics.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," School of Economics and Public Policy Working Papers 2020-03, University of Adelaide, School of Economics and Public Policy.
- Firmin Doko Tchatoka & Qazi Haque, 2020. "On bootstrapping tests of equal forecast accuracy for nested models," CAMA Working Papers 2020-27, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2023.
"Simultaneous bandwidths determination for DK-HAC estimators and long-run variance estimation in nonparametric settings,"
Econometric Reviews, Taylor & Francis Journals, vol. 42(3), pages 281-306, February.
- Federico Belotti & Alessandro Casini & Leopoldo Catania & Stefano Grassi & Pierre Perron, 2021. "Simultaneous Bandwidths Determination for DK-HAC Estimators and Long-Run Variance Estimation in Nonparametric Settings," Papers 2103.00060, arXiv.org.
- Bravo, Francesco & Crudu, Federico, 2012.
"Efficient bootstrap with weakly dependent processes,"
Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3444-3458.
- Francesco Bravo & Federico Crudu, 2012. "Efficient bootstrap with weakly dependent processes," Discussion Papers 12/08, Department of Economics, University of York.
- Casini, Alessandro, 2023. "Theory of evolutionary spectra for heteroskedasticity and autocorrelation robust inference in possibly misspecified and nonstationary models," Journal of Econometrics, Elsevier, vol. 235(2), pages 372-392.
- Corradi, Valentina & Swanson, Norman R., 2006.
"Bootstrap conditional distribution tests in the presence of dynamic misspecification,"
Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
- Valentina Corradi & Norman R. Swanson, 2003. "Bootstrap Conditional Distribution Tests In the Presence of Dynamic Misspecification," Departmental Working Papers 200311, Rutgers University, Department of Economics.
- Laurent Calvet & Adlai Fisher, 2003.
"Regime-Switching and the Estimation of Multifractal Processes,"
Harvard Institute of Economic Research Working Papers
1999, Harvard - Institute of Economic Research.
- Laurent Calvet & Adlai Fisher, 2003. "Regime-Switching and the Estimation of Multifractal Processes," NBER Working Papers 9839, National Bureau of Economic Research, Inc.
- Paulo M.D.C. Parente & Richard J. Smith, 2018. "Generalised Empirical Likelihood Kernel Block Bootstrapping," Working Papers REM 2018/55, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
- Amélie Charles & Olivier Darné, 2009.
"Variance‐Ratio Tests Of Random Walk: An Overview,"
Journal of Economic Surveys, Wiley Blackwell, vol. 23(3), pages 503-527, July.
- Amélie Charles & Olivier Darné, 2009. "Variance ratio tests of random walk: An overview," Post-Print hal-00771078, HAL.
- James G. MacKinnon, 2012. "Thirty Years Of Heteroskedasticity-robust Inference," Working Paper 1268, Economics Department, Queen's University.
- Alain Guay & Jean-Francois Lamarche, 2005.
"The Information Content of Implied Probabilities to Detect Structural Change,"
Working Papers
0804, Brock University, Department of Economics, revised Oct 2008.
- Alain Guay & Jean-François Lamarche, 2008. "The Information Content of Implied Probabilities to Detect Structural Change," Cahiers de recherche 0833, CIRPEE.
More about this item
Keywords
Bootstrap; confidence intervals; studentization; time series regressions; prewhitening;All these keywords.
JEL classification:
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2002-08-16 (Econometrics)
- NEP-ETS-2002-08-16 (Econometric Time Series)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:upf:upfgen:635. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: http://www.econ.upf.edu/ .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.