A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS (Q5859567): Difference between revisions

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scientific article; zbMATH DE number 7334509

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English	A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS	scientific article; zbMATH DE number 7334509

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instance of

scholarly article

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title

A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS (English)

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zbMATH Open document ID

1462.62528

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DOI

10.1017/S0266466620000067

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16 April 2021

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Mathematics Subject Classification ID

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time series models

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bootstrap testing

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MaRDI profile type

MaRDI publication profile

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cites work

Estimation When a Parameter is on a Boundary

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Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space

0 references

Testing When a Parameter is on the Boundary of the Maintained Hypothesis

0 references

A Three-step Method for Choosing the Number of Bootstrap Repetitions

0 references

Bootstrap of the mean in the infinite variance case

0 references

Bootstrapping unstable first-order autoregressive processes

0 references

The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors

0 references

Inference on co-integration parameters in heteroskedastic vector autoregressions

0 references

Martingale Central Limit Theorems

0 references

Sieve bootstrap for time series

0 references

Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

0 references

On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space

0 references

COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

0 references

Testing for co-integration in vector autoregressions with non-stationary volatility

0 references

Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models

0 references

Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

0 references

Testing for unit roots in time series models with non-stationary volatility

0 references

BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

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HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT

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Bootstrap<i>M</i>Unit Root Tests

0 references

NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL

0 references

Bootstrap tests: how many bootstraps?

0 references

Bootstrap \(J\) tests of nonnested linear regression models

0 references

The power of bootstrap and asymptotic tests

0 references

Recent developments in bootstrap methodology

0 references

Spectral tests of the martingale hypothesis under conditional heteroscedasticity

0 references

Co-Integration and Error Correction: Representation, Estimation, and Testing

0 references

The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors

0 references

Bootstrapping general empirical measures

0 references

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

0 references

The bootstrap and Edgeworth expansion

0 references

Q3911791

0 references

Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

0 references

ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

0 references

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

0 references

Testing for reduction to random walk in autoregressive conditional heteroskedasticity models

0 references

On the bootstrap of the sample mean in the infinite variance case

0 references

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

0 references

Estimation and Asymptotic Inference in the AR-ARCH Model

0 references

Estimation and Testing Stationarity for Double-Autoregressive Models

0 references

Q5434016

0 references

Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

0 references

Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors

0 references

ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL

0 references

Bootstrap procedures under some non-i.i.d. models

0 references

Bootstrap and wild bootstrap for high dimensional linear models

0 references

Time Series Regression with a Unit Root

0 references

Subsampling

0 references

Bootstrapping unit root tests for integrated processes

0 references

Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models

0 references

Jackknife, bootstrap and other resampling methods in regression analysis

0 references

full work available at URL

https://doi.org/10.1017/s0266466620000067

0 references

OpenAlex ID

W2948964015

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5859567

@@ Property / cites work @@
+Estimation When a Parameter is on a Boundary
@@ Property / cites work: Estimation When a Parameter is on a Boundary / rank @@
+Normal rank
@@ Property / cites work @@
+Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
+Normal rank
@@ Property / cites work @@
+Testing When a Parameter is on the Boundary of the Maintained Hypothesis
+Normal rank
@@ Property / cites work @@
+A Three-step Method for Choosing the Number of Bootstrap Repetitions
+Normal rank
@@ Property / cites work @@
+Bootstrap of the mean in the infinite variance case
+Normal rank
@@ Property / cites work @@
+Bootstrapping unstable first-order autoregressive processes
+Normal rank
@@ Property / cites work @@
+The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors
+Normal rank
@@ Property / cites work @@
+Inference on co-integration parameters in heteroskedastic vector autoregressions
+Normal rank
@@ Property / cites work @@
+Martingale Central Limit Theorems
@@ Property / cites work: Martingale Central Limit Theorems / rank @@
+Normal rank
@@ Property / cites work @@
+Sieve bootstrap for time series
@@ Property / cites work: Sieve bootstrap for time series / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+On the Consistency of Bootstrap Testing for a Parameter on the Boundary of the Parameter Space
+Normal rank
@@ Property / cites work @@
+COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
+Normal rank
@@ Property / cites work @@
+Testing for co-integration in vector autoregressions with non-stationary volatility
+Normal rank
@@ Property / cites work @@
+Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models
+Normal rank
@@ Property / cites work @@
+Testing for unit roots in time series models with non-stationary volatility
+Normal rank
@@ Property / cites work @@
+BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
+Normal rank
@@ Property / cites work @@
+HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
@@ Property / cites work: HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap<i>M</i>Unit Root Tests
@@ Property / cites work: Bootstrap<i>M</i>Unit Root Tests / rank @@
+Normal rank
@@ Property / cites work @@
+NON-STATIONARITY AND QUASI-MAXIMUM LIKELIHOOD ESTIMATION ON A DOUBLE AUTOREGRESSIVE MODEL
+Normal rank
@@ Property / cites work @@
+Bootstrap tests: how many bootstraps?
@@ Property / cites work: Bootstrap tests: how many bootstraps? / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap \(J\) tests of nonnested linear regression models
+Normal rank
@@ Property / cites work @@
+The power of bootstrap and asymptotic tests
@@ Property / cites work: The power of bootstrap and asymptotic tests / rank @@
+Normal rank
@@ Property / cites work @@
+Recent developments in bootstrap methodology
@@ Property / cites work: Recent developments in bootstrap methodology / rank @@
+Normal rank
@@ Property / cites work @@
+Spectral tests of the martingale hypothesis under conditional heteroscedasticity
+Normal rank
@@ Property / cites work @@
+Co-Integration and Error Correction: Representation, Estimation, and Testing
+Normal rank
@@ Property / cites work @@
+The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
+Normal rank
@@ Property / cites work @@
+Bootstrapping general empirical measures
@@ Property / cites work: Bootstrapping general empirical measures / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
+Normal rank
@@ Property / cites work @@
+The bootstrap and Edgeworth expansion
@@ Property / cites work: The bootstrap and Edgeworth expansion / rank @@
+Normal rank
@@ Property / cites work @@
+Q3911791
@@ Property / cites work: Q3911791 / rank @@
+Normal rank
@@ Property / cites work @@
+Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH
@@ Property / cites work: ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH / rank @@
+Normal rank
@@ Property / cites work @@
+Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Testing for reduction to random walk in autoregressive conditional heteroskedasticity models
+Normal rank
@@ Property / cites work @@
+On the bootstrap of the sample mean in the infinite variance case
+Normal rank
@@ Property / cites work @@
+TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS
+Normal rank
@@ Property / cites work @@
+Estimation and Asymptotic Inference in the AR-ARCH Model
+Normal rank
@@ Property / cites work @@
+Estimation and Testing Stationarity for Double-Autoregressive Models
+Normal rank
@@ Property / cites work @@
+Q5434016
@@ Property / cites work: Q5434016 / rank @@
+Normal rank
@@ Property / cites work @@
+Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models
+Normal rank
@@ Property / cites work @@
+Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors
+Normal rank
@@ Property / cites work @@
+ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL
@@ Property / cites work: ASYMPTOTIC THEORY FOR A VECTOR ARMA-GARCH MODEL / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap procedures under some non-i.i.d. models
@@ Property / cites work: Bootstrap procedures under some non-i.i.d. models / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrap and wild bootstrap for high dimensional linear models
+Normal rank
@@ Property / cites work @@
+Time Series Regression with a Unit Root
@@ Property / cites work: Time Series Regression with a Unit Root / rank @@
+Normal rank
@@ Property / cites work @@
+Subsampling
@@ Property / cites work: Subsampling / rank @@
+Normal rank
@@ Property / cites work @@
+Bootstrapping unit root tests for integrated processes
+Normal rank
@@ Property / cites work @@
+Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
+Normal rank
@@ Property / cites work @@
+Jackknife, bootstrap and other resampling methods in regression analysis
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1017/s0266466620000067
+Normal rank
@@ Property / OpenAlex ID @@
+W2948964015
@@ Property / OpenAlex ID: W2948964015 / rank @@
+Normal rank