Half-life estimation based on the bias-corrected bootstrap: a highest density region approach

DOI10.1016/j.csda.2006.07.005zbMath1161.62327OpenAlexW1991049616WikidataQ58297467 ScholiaQ58297467MaRDI QIDQ1019975

J. Martínez

Publication date: 29 May 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2006.07.005

zbMATH Keywords

confidence intervalautoregressive modelbootstrappingbias-correctionhalf-lifehighest density region

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric tolerance and confidence regions (62F25) Point estimation (62F10) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Related Items (3)

A Saddlepoint Approximation to the Distribution of the Half-Life Estimator in a Stationary Autoregressive Model ⋮ Improved interval estimation of long run response from a dynamic linear model: a highest density region approach ⋮ A Probabilistic Representation Method for Interval Uncertainty

Uses Software

• bootstrap

Cites Work

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• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap
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• Bootstrap methods: another look at the jackknife
• Asymptotic confidence intervals for impulse responses of near‐integrated processes
• Transformations in Density Estimation
• Recent developments in bootstrapping time series
• Bootstrapping time series models
• Are Output Fluctuations Transitory?
• Exactly Median-Unbiased Estimation of First Order Autoregressive/Unit Root Models

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