Simulation-based density estimation for time series using covariate data


Autoria(s): Liao, Yin; Stachurski, John
Data(s)

2015

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

http://eprints.qut.edu.au/78030/

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