Subsampling inference in threshold autoregressive models
- Author
- GONZALO, Jesus1 ; WOLF, Michael2
[1] Department of Economics, Universidad Carlos III de Madrid, Galle Madrid 126, 28903 Getafe, Spain
[2] Department of Economics and Business, Universitat Pompeu Fabra, Ramon Trias Fargas 25-27, 08005 Barcelona, Spain - Source
Journal of econometrics. 2005, Vol 127, Num 2, pp 201-224, 24 p ; ref : 10 ref
- CODEN
- JECMB6
- ISSN
- 0304-4076
- Scientific domain
- Control theory, operational research; Mathematics
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- C14 C15 C22 C32 Confidence intervals Continuity Regime shifts Subsampling Threshold autoregressive models
- Keyword (fr)
- Analyse donnée Donnée économique Econométrie Estimation statistique Intervalle confiance Loi limite Loi normale Modèle autorégressif Modèle régression Méthode statistique Seuil Simulation statistique Sous échantillonnage Continuité Décalage régime
- Keyword (en)
- Data analysis Economic data Econometrics Statistical estimation Confidence interval Limit distribution Gaussian distribution Autoregressive model Regression model Statistical method Threshold Statistical simulation Subsampling Regime shift
- Keyword (es)
- Análisis datos Dato económico Econometría Estimación estadística Intervalo confianza Ley límite Curva Gauss Modelo autorregresivo Modelo regresión Método estadístico Umbral Simulación estadística Submuestreo
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02M Inference from stochastic processes; time series analysis
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02N Applications / 001A02H02N2 Insurance, economics, finance
- Discipline
- Mathematics
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 16859488
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.jeconom.2004.08.004 
https://dx.doi.org/10.1016/j.jeconom.2004.08.004
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