Eric Beutner, Alexander Heinemann, Stephan Smeekes
arXiv 5 Feb 2019 · Econometrics · 3 citations (OpenAlex)
arXiv:1902.01622 · PDF · DOI · OpenAlex · Extracted main text
In this paper we propose a general framework to analyze prediction in time series models and show how a wide class of popular time series models satisfies this framework. We postulate a set of high-level assumptions, and formally verify these assumptions for the aforementioned time series models. Our framework coincides with that of Beutner et al. (2019, arXiv:1710.00643) who establish the validity of conditional confidence intervals for predictions made in this framework. The current paper therefore complements the results in Beutner et al. (2019, arXiv:1710.00643) by providing practically relevant applications of their theory.
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The works this paper leans on most, across its whole bibliography — not restricted to papers in our corpus. Ranked by composite intensity, which combines how often a work is mentioned, how many sections mention it, and how much of that falls in the main text rather than the appendix.
| Reference | Intensity | Mentions | Sections | Main text | |
|---|---|---|---|---|---|
| 1 | Bradley, R. C (2005) Basic properties of strong mixing conditions. A survey and some open questions | 1.000 | 8 | 4 | 100% |
| 2 | Bougerol, P. and Picard, N (1992) Stationarity of GARCH processes and of some nonnegative time series | 0.811 | 4 | 2 | 100% |
| 3 | Davidson, J (1994) Stochastic Limit Theory: An Introduction for Econometricians | 0.811 | 4 | 2 | 100% |
| 4 | Mokkadem, A (1988) Mixing properties of ARMA processes | 0.811 | 4 | 2 | 100% |
| 5 | Beutner, E., Heinemann, A., and Smeekes, S (2019) A justification of conditional confidence intervals self | 0.737 | 3 | 2 | 100% |
| 6 | Hamadeh, T. and Zakoän, J.-M (2011) Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes | 0.693 | 7 | 1 | 100% |
| 7 | Francq, C. and Zakoän, J.-M (2004) Maximum likelihood estimation of pure Garch and Arma-Garch processes | 0.693 | 5 | 1 | 100% |
| 8 | Francq, C. and Zakoän, J.-M (2011) GARCH Models: Structure, Statistical Inference and Financial Applications | 0.644 | 4 | 1 | 100% |
| 9 | Brockwell, P. J. and Davis, R. A (1991) Time Series: Theory and Methods | 0.585 | 3 | 1 | 100% |
| 10 | Andrews, D. W. K (1983) First order autoregressive processes and strong mixing | 0.511 | 2 | 1 | 100% |
Showing the top 10 of 26 scored citations.
arXiv econ.EM papers that cite this one, ranked by how heavily they lean on it.
| Citing paper | Intensity | Mentions | Sections | |
|---|---|---|---|---|
| 1 | A Justification of Conditional Confidence Intervals | 0.585 | 3 | 1 |
| 2 | Journal of Econometrics | 0.405 | 1 | 1 |