Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form

48 Pages Posted: 8 Jun 2016

See all articles by Lutz Kilian

Lutz Kilian

University of Michigan at Ann Arbor - Department of Economics; Centre for Economic Policy Research (CEPR)

Sílvia Gonçalves

Independent

Date Written: 2002

Abstract

Conditional heteroskedasticity is an important feature of many macroeconomic and

Bedingte Heteroskedastizität ist eine wichtige Eigenschaft von vielen Daten über

Keywords: wild bootstrap, pairwise bootstrap, robust inference

JEL Classification: C52, C22, C15

Suggested Citation

Kilian, Lutz and Gonçalves, Sílvia, Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form (2002). Bundesbank Series 1 Discussion Paper No. 2002,26. Available at SSRN: https://ssrn.com/abstract=2785162

Lutz Kilian (Contact Author)

University of Michigan at Ann Arbor - Department of Economics ( email )

611 Tappan Street
Ann Arbor, MI 48109-1220
United States
734-764-2320 (Phone)
734-764-2769 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

Sílvia Gonçalves

Independent ( email )

No Address Available

Register to save articles to
your library

Register

Paper statistics

Downloads
4
Abstract Views
92
PlumX Metrics