[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. (1999). Kilian, Lutz ; Birgean, Ionel ; Berkowitz, Jeremy .
In: Finance and Economics Discussion Series.
RePEc:fip:fedgfe:1999-04.

Full description at Econpapers || Download paper

Cited: 6

Citations received by this document

Cites: 39

References cited by this document

Cocites: 21

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Inflation at Risk. (2020). Lopez-Salido, David ; Loria, Francesca.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2020-13.

    Full description at Econpapers || Download paper

  2. Inflation at Risk. (2019). Loria, Francesca ; Lopez-Salido, David J.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:14074.

    Full description at Econpapers || Download paper

  3. Oil shocks and external balances. (2009). Spatafora, Nikola ; Rebucci, Alessandro ; Kilian, Lutz.
    In: Journal of International Economics.
    RePEc:eee:inecon:v:77:y:2009:i:2:p:181-194.

    Full description at Econpapers || Download paper

  4. Do Local Projections Solve the Bias Problem in Impulse Response Inference?. (2009). Kim, Yun Jung ; Kilian, Lutz.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7266.

    Full description at Econpapers || Download paper

  5. Did Unexpectedly Strong Economic Growth Cause the Oil Price Shock of 2003-2008?. (2009). Kilian, Lutz ; Hicks, Bruce .
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:7265.

    Full description at Econpapers || Download paper

  6. Some Statistical Investigations on the Nature and Dynamics of Electricity Prices. (2004). Secchi, Angelo ; Sapio, Sandro ; Bottazzi, Giulio.
    In: LEM Papers Series.
    RePEc:ssa:lemwps:2004/13.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Akaike, H. (1969), Power Spectrum Estimation through Autoregressive Model Fitting, Annals of the Institute of Statistical Mathematics, 21, 407-419.

  2. Andrews, D.W.K. (1991), Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation, Econometrica, 59, 817-858.

  3. Bühlmann, P. (1994), Blockwise Bootstrapped Empirical Process for Stationary Sequences, Annals of Statistics, 22, 995-1012.
    Paper not yet in RePEc: Add citation now

  4. Bühlmann, P. (1995), The Blockwise Bootstrap for General Empirical Processes of Stationary Sequences, Stochastic Processes and their Applications, 58, 247-265.

  5. Bühlmann, P. (1996), Locally Adaptive Lag-Window Spectral Estimation, Journal of Time Series Analysis, 17, 247-270.
    Paper not yet in RePEc: Add citation now
  6. Bühlmann, P. (1997), Sieve Bootstrap for Time Series, Bernoulli, 3, 123-148.
    Paper not yet in RePEc: Add citation now
  7. Bühlmann, P. and H.R. Künsch (1996), Block Length Selection in the Bootstrap for Time Series, mimeo, Seminar für Statistik, ETH Zürich.
    Paper not yet in RePEc: Add citation now
  8. Bühlmann, P. and Künsch, H.R. (1995), The Blockwise Bootstrap for General Parameters of a Stationary Time Series, Scandinavian Journal of Statistics, 22, 35-54.
    Paper not yet in RePEc: Add citation now

  9. Berkowitz, J., and L. Kilian (1996), Recent Developments in Bootstrapping Time Series, Finance and Economics Discussion Series, Working Paper No. 1996-45, Board of Governors of the Federal Reserve, forthcoming: Econometric Reviews.

  10. Bickel, P.J., and P. Bühlmann (1995), Mixing Property and Functional Central Limit Theorems for a Sieve Bootstrap in Time Series, Technical Report 440, Department of Statistics, University of California at Berkeley.
    Paper not yet in RePEc: Add citation now

  11. Birgean, I., and L. Kilian (1998), Data-Driven Nonparametric Spectral Density Estimators for Economic Time Series: AMonte Carlo Study, mimeo, Department of Economics, University of Michigan.

  12. Christiano, L.J., M. Eichenbaum and C. Evans (1997), Modeling Money, mimeo, Department of Economics, Northwestern University.

  13. Cogley, T., and J.M. Nason (1995), Output Dynamics in Real-Business Cycle Models, American Economic Review, 85, 492-511.

  14. Davison, A.C., and D.V. Hinkley (1997), Bootstrap Methods and Their Application, Cambridge University Press.
    Paper not yet in RePEc: Add citation now

  15. Diebold, F.X., and L. Kilian (1997), Measuring Predictability: Theory and Macroeconomic Applications, NBER Technical Working Paper 213.

  16. Diebold, F.X., L.E. Ohanian, and J. Berkowitz (1998), Dynamic Equilibrium Economies: A Framework for Comparing Models and Data, Review of Economic Studies, 65, 433451.

  17. Efron, B., and R.J. Tibshirani (1993), An Introduction to the Bootstrap, New York: Chapman and Hall.
    Paper not yet in RePEc: Add citation now
  18. Hjorth, J.S.U. (1994), Computer Intensive Statistical Methods: Validation, Model Selection, and Bootstrap, London: Chapman and Hall.
    Paper not yet in RePEc: Add citation now

  19. Inoue, A., and L. Kilian (1999), Bootstrapping Smooth Functions of Slope Parameters and Innovation Variances in VAR() Models, mimeo, Department of Economics, University of Michigan.

  20. K.H. Jöckel, G. Rothe, and W. Sendler. New York: Springer-Verlag. Künsch, H.R. (1989), The Jackknife and the Bootstrap for General Stationary Observations, Annals of Statistics, 17, 1217-1241.
    Paper not yet in RePEc: Add citation now

  21. Kilian, L. (1997), Impulse Response Analysis in VectorAutoregressions with Unknown Lag Order, mimeo, Department of Economics, University of Michigan.

  22. Kilian, L. (1998a), Accounting for Lag Order Uncertainty in Autoregressions: The Endogenous Lag Order Bootstrap Algorithm, Journal of Time Series Analysis, 19, 531-548.

  23. Kilian, L. (1998b) Small-Sample Confidence Intervals for Impulse Response Functions, Review of Economics and Statistics, 80, 218-230.

  24. Kilian, L. (1998c), Pitfalls in Constructing Bootstrap Confidence Intervals for Asymptotically Pivotal Statistics, mimeo, Department of Economics, University of Michigan.

  25. King, R.G., and M.W. Watson (1996), Money, Prices, Interest Rates and the Business Cycle, Review of Economics and Statistics, 78, 35-53.

  26. Kreiss, J.P. (1992), Bootstrap Procedures for AR( )-Processes, in Bootstrapping and Related Techniques, Proceedings, Lecture Notes in Economics and Mathematical Systems, eds.
    Paper not yet in RePEc: Add citation now
  27. LePage, New York: Springer-Verlag. Politis, D.N., and J.P. Romano (1994), The Stationary Bootstrap, Journal of the American Statistical Association, 89, 1303-1313.
    Paper not yet in RePEc: Add citation now

  28. Li, H., and G.S. Maddala (1997), Bootstrapping Cointegrating Regressions, Journal of Econometrics, 80, 297-318.

  29. Liu, R.Y., and K. Singh (1992), Moving Blocks Jackknife and Bootstrap Capture Weak Dependence, in Exploring the Limits of Bootstrap, R. LePage and L. Billard, eds. New York: John Wiley and Sons.
    Paper not yet in RePEc: Add citation now

  30. Newey, W.K., and K.D. West (1994), Automatic Lag Selection in Covariance Matrix Estimation, Review of Economic Studies, 61, 631-653.

  31. Paparoditis, E. (1996), Bootstrapping Autoregressive and Moving Average Parameter Estimates of Infinite Order Vector Autoregressive Processes, Journal of Multivariate Analysis, 57, 277-296.

  32. Paparoditis, E., and B. Streitberg (1992), Order Identification in Stationary Autoregressive Moving Average Models: Vector Autocorrelations and the Bootstrap, Journal of Time Series Analysis, 13, 415-435.
    Paper not yet in RePEc: Add citation now
  33. Parzen, E. (1974), Some Recent Advances in Time Series Modeling, IEEE Transactions on Automatic Control, AC-19, 723-729.
    Paper not yet in RePEc: Add citation now
  34. Politis, D.N., and J.P. Romano (1992b), A Nonparametric Resampling Procedure for Multivariate Confidence Regions in Time Series Analysis, in Computing Science and Statistics, Proceedings of the 22 nd Symposium on the Interface, eds. C. Page and R.
    Paper not yet in RePEc: Add citation now
  35. Politis, D.N., J.P. Romano and T. Lai (1992), Bootstrap Confidence Intervals for Spectra and Cross-Spectra, IEEE Transactions on Signal Processing, 40, 1206-1215.
    Paper not yet in RePEc: Add citation now

  36. Rotemberg, J., and M. Woodford (1997), An Optimization-Based Econometric Framework for the Evaluation of Monetary Policy, paper presented at the Twelfth Annual Macroeconomic Conference, NBER, April 4-5, 1997.

  37. Schmitt-Grohé, S. (1998), The International Transmission of Economic Fluctuations: Effects of U.S. Business Cycles on the Canadian Economy, Journal of International Economics, 44, 257-287.
    Paper not yet in RePEc: Add citation now
  38. Swanepoel, J.W.H., and J.W.K. van Wyk (1986), The Bootstrap Applied to Power Spectral Density Function Estimation, Biometrika, 73, 135-141.
    Paper not yet in RePEc: Add citation now
  39. Welch, P.D. (1967), The Use of Fast Fourier Transform for the Estimation of Power Spectra: A Method Based on Time Averaging Over Short Modified Periodograms, IEEE Transactions on Audio and Electroacoustics, AU-15(2), 70-73.
    Paper not yet in RePEc: Add citation now

Cocites

Documents in RePEc which have cited the same bibliography

  1. Effects of Health Factors on GDP Growth: Empirical Evidence from Saudi Arabia. (2023). Khoj, Haitham ; Islam, Mohammad Nazrul.
    In: Sustainability.
    RePEc:gam:jsusta:v:15:y:2023:i:11:p:8732-:d:1158352.

    Full description at Econpapers || Download paper

  2. A prediction perspective on the Wiener–Hopf equations for time series. (2023). Yang, Junho ; Rao, Suhasini Subba.
    In: Journal of Time Series Analysis.
    RePEc:bla:jtsera:v:44:y:2023:i:1:p:23-42.

    Full description at Econpapers || Download paper

  3. On the validity of Akaike’s identity for random fields. (2021). Meyer, Marco ; Jentsch, Carsten.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:222:y:2021:i:1:p:676-687.

    Full description at Econpapers || Download paper

  4. .

    Full description at Econpapers || Download paper

  5. EXSSA: SSA-based reconstruction of time series via exponential smoothing of covariance eigenvalues. (2017). Thomakos, Dimitrios ; Papailias, Fotis.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:33:y:2017:i:1:p:214-229.

    Full description at Econpapers || Download paper

  6. Autoregressive Spatial Spectral Estimates. (2015). Gupta, Abhimanyu.
    In: Economics Discussion Papers.
    RePEc:esx:essedp:767.

    Full description at Econpapers || Download paper

  7. Autoregressive Spatial Spectral Estimates. (2015). Gupta, Abhimanyu.
    In: Economics Discussion Papers.
    RePEc:esx:essedp:23825.

    Full description at Econpapers || Download paper

  8. Autoregressive Spatial Spectral Estimates. (2015). Gupta, Abhimanyu.
    In: Economics Discussion Papers.
    RePEc:esx:essedp:14458.

    Full description at Econpapers || Download paper

  9. Forecasting long memory series subject to structural change: A two-stage approach. (2015). Papailias, Fotis ; Dias, Gustavo Fruet .
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:4:p:1056-1066.

    Full description at Econpapers || Download paper

  10. Business Cycle Implications of Internal Consumption Habit for New Keynesian Models. (2014). Nason, James ; Kano, Takashi.
    In: Journal of Money, Credit and Banking.
    RePEc:wly:jmoncb:v:46:y:2014:i:2-3:p:519-544.

    Full description at Econpapers || Download paper

  11. Simultaneous confidence bands for sequential autoregressive fitting. (2014). Jirak, Moritz .
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:124:y:2014:i:c:p:130-149.

    Full description at Econpapers || Download paper

  12. Business cycle implications of internal consumption habit for new Keynesian models. (2013). Nason, James ; Kano, Takashi.
    In: Working Papers.
    RePEc:fip:fedpwp:12-30.

    Full description at Econpapers || Download paper

  13. Forecasting a long memory process subject to structural breaks. (2013). Wang, Cindy Shin-huei ; hsiao, cheng ; Bauwens, Luc.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:177:y:2013:i:2:p:171-184.

    Full description at Econpapers || Download paper

  14. Business Cycle Implications of Internal Consumption Habit for New Keynesian Models. (2012). Nason, James ; Kano, Takashi.
    In: Discussion Papers.
    RePEc:hit:econdp:2012-09.

    Full description at Econpapers || Download paper

  15. Business Cycle Implications of Internal Consumption Habit for New Keynesian Models. (2009). Nason, James ; Kano, Takashi.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf623.

    Full description at Econpapers || Download paper

  16. Business Cycle Implications of Internal Consumption Habit for New Keynesian Model. (2009). Nason, James ; Kano, Takashi.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf151.

    Full description at Econpapers || Download paper

  17. DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY. (2002). Kilian, Lutz ; Birgean, Ionel.
    In: Econometric Reviews.
    RePEc:taf:emetrv:v:21:y:2002:i:4:p:449-476.

    Full description at Econpapers || Download paper

  18. IMPLICATIONS OF DEFLATING COMMODITY PRICES FOR TIME-SERIES ANALYSIS. (2000). Peterson, Hikaru ; Tomek, William G..
    In: 2000 Conference, April 17-18 2000, Chicago, Illinois.
    RePEc:ags:ncrtci:18944.

    Full description at Econpapers || Download paper

  19. On the finite-sample accuracy of nonparametric resampling algorithms for economic time series. (1999). Kilian, Lutz ; Birgean, Ionel ; Berkowitz, Jeremy .
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:1999-04.

    Full description at Econpapers || Download paper

  20. On a spectral estimate obtained by an autoregressive model fitting. (1977). Huzii, Mituaki.
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:29:y:1977:i:1:p:415-431.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-01 20:21:15 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.