1. Introduction -- 2. Testing for a Unit Root -- 3. A Model Averaging Bootstrap Procedure -- 3.2. A Unit Root Model Average Bootstrap Procedure -- 4. Monte Carlo Simulation for Bootstrap Unit Root Test -- 4.1. AR(1) DGP -- 4.2. ARMA(1,1) DGP -- 4.3. ARMA(1,2) DGP -- 4.4. Discussion -- 5. Conclusion -- References -- Chapter 6: Averaging Heterogeneous Autoregression Models with Heteroskedastic Errors: Theory and an Application to Cryptocurrency Volatility Forecasting -- 1. Introduction -- 2. A Review of Reference Models to Forecast Volatility -- 3. Asymptotic Optimality of the H-MAHAR Estimator 3.1. Asymptotic Optimality of H-MAHAR -- 4. Data and Simulation Exercise -- 4.1. Simulation Exercise -- 5. Empirical Application -- 6. Conclusion -- References -- Chapter 7: Efficient Estimation in Varying Coefficient Panel Data Model with Different Smoothing Variables and Fixed Effects -- 1. Introduction -- 2. Estimation of the Varying Coefficient Panel Data Model with Fixed Effect and Different Smoothing Variables -- 3. Asymptotic Properties -- 4. Monte Carlo Simulation -- 4.2. A Test for the Significance of the Coefficient Function
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