Simulation-based density estimation for time series using covariate data

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.

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Abstract

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.

Impact and interest:

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1 citations in Web of Science®

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ID Code: 78030
Item Type: Journal Article
Refereed: Yes
Additional URLs:
Keywords: Density Estimation, Simulation Based Method, Time Series, Covariate Data
DOI: 10.1080/07350015.2014.982247
ISSN: 0735-0015
Subjects: Australian and New Zealand Standard Research Classification > ECONOMICS (140000) > ECONOMETRICS (140300) > Time-Series Analysis (140305)
Divisions: Current > QUT Faculties and Divisions > QUT Business School
Current > Schools > School of Economics & Finance
Copyright Owner: Copyright 2014 American Statistical Association
Copyright Statement: 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
Deposited On: 26 Oct 2014 23:26
Last Modified: 03 Nov 2015 22:07

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