search query: @author Romano, J. P. / total: 1
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| Author: | Politis, D. N. Romano, J. P. Wolf, M. |
| Title: | Subsampling for heteroskedastic time series. |
| Journal: | Journal of Econometrics
1997 : DEC, VOL. 81:2, p. 281-317 |
| Index terms: | TIME SERIES HETEROSCEDASTICITY LINEAR MODELS CASE STUDIES |
| Language: | eng |
| Abstract: | The authors present a general theory for the construction of confidence intervals or regions in the context of heteroskedastic-dependent data. The basic idea is to approximate the sampling distribution of a statistic based on the values of the statistic computed over smaller subset of the data. The general asymptotic results are applied to a regression setting with dependent heteroskedastic errors. |
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