Improved nonparametric confidence intervals in time series regressions

DOI10.1080/10485250600687812zbMath1099.62102OpenAlexW3123652205MaRDI QIDQ5478900

Joseph P. Romano, Michael Wolf

Publication date: 13 July 2006

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10230/1246

zbMATH Keywords

BootstrapConfidence intervalsStudentizationPrewhiteningTime series regressions

Mathematics Subject Classification ID

Nonparametric regression and quantile regression (62G08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric tolerance and confidence regions (62G15) Nonparametric statistical resampling methods (62G09)

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