34 citations · 45 across the 18 of their papers we have counts for
3 papers · 1 filter
An Automated Approach Towards Sparse Single-Equation Cointegration Modelling
Stephan Smeekes, Etienne Wijler
In this paper we propose the Single-equation Penalized Error Correction Selector (SPECS) as an automated estimation procedure for dynamic single-equation models with a large number…
A Residual Bootstrap for Conditional Value-at-Risk
Eric Beutner, Alexander Heinemann, Stephan Smeekes
A fixed-design residual bootstrap method is proposed for the two-step estimator of Francq and Zakoïan (2015) associated with the conditional Value-at-Risk. The bootstrap's consiste…
Autoregressive Wild Bootstrap Inference for Nonparametric Trends
Marina Friedrich, Stephan Smeekes, Jean-Pierre Urbain
In this paper we propose an autoregressive wild bootstrap method to construct confidence bands around a smooth deterministic trend. The bootstrap method is easy to implement and do…