Name
Abstract | ||
|---|---|---|
In the paper, a heteroskedastic autoregressive process of the first order is considered where the autoregressive parameter is random and errors are allowed to be non-identically distributed. Wild bootstrap procedure to approximate the distribution of the least-squares estimator of the mean of the random parameter is proposed as an alternative to the approximation based on asymptotic normality, and consistency of this procedure is established. |
Year | Venue | Keywords |
|---|---|---|
2003 | KYBERNETIKA | random coefficient autoregression,heteroskedasticity,wild bootstrap |
Field | DocType | Volume |
Econometrics,Autoregressive model,Mathematical optimization,Heteroscedasticity,First order,STAR model,Bootstrapping (electronics),Mathematics,Asymptotic distribution,Estimator | Journal | 39 |
Issue | ISSN | Citations |
1 | 0023-5954 | 0 |
PageRank | References | Authors |
0.34 | 0 | 1 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Zuzana Praskova | 1 | 0 | 2.70 |