On the speed of adjustment in ESTAR models when allowance is made for bias in estimation

DOI10.1016/j.econlet.2005.08.014zbMath1255.62320OpenAlexW2027639338MaRDI QIDQ1929047

Ivan Paya, David A. Peel

Publication date: 7 January 2013

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2005.08.014

zbMATH Keywords

bootstrapping

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Bootstrap, jackknife and other resampling methods (62F40)

Related Items

Implementing the wild bootstrap using a two-point distribution ⋮ Purchasing power parity analyzed through a continuous-time version of the ESTAR model

Cites Work

• Testing the adequacy of smooth transition autoregressive models
• Impulse response analysis in nonlinear multivariate models
• On conditional least squares estimation for stochastic processes
• Asymptotic properties of nonlinear least squares estimates in stochastic regression models
• Nonlinear Dynamic Structures

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