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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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.
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|Item Type:||Journal Article|
|Keywords:||Density Estimation, Simulation Based Method, Time Series, Covariate Data|
|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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