Simulation-based density estimation for time series using covariate data
Data(s) |
2015
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Resumo |
This paper proposes a simulation-based density estimation technique for time series that exploits information found in covariate data. The method can be paired with a large range of parametric models used in time series estimation. We derive asymptotic properties of the estimator and illustrate attractive finite sample properties for a range of well-known econometric and financial applications. |
Formato |
application/pdf |
Identificador | |
Publicador |
Taylor & Francis Inc. |
Relação |
http://eprints.qut.edu.au/78030/1/JBES.pdf DOI:10.1080/07350015.2014.982247 Liao, Yin & Stachurski, John (2015) Simulation-based density estimation for time series using covariate data. Journal of Business and Economic Statistics, 33(4), pp. 595-606. |
Direitos |
Copyright 2014 American Statistical Association This is an Accepted Manuscript of an article published by Taylor & Francis Group in Journal of Business and Economic Statistics on [In Press] available online: http://www.tandfonline.com/10.1080/07350015.2014.982247 |
Fonte |
QUT Business School; School of Economics & Finance |
Palavras-Chave | #140305 Time-Series Analysis #Density Estimation #Simulation Based Method #Time Series #Covariate Data |
Tipo |
Journal Article |