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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16 April 2021

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zbMATH Keywords

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

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Bootstrapping unstable first-order autoregressive processes

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Martingale Central Limit Theorems

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Sieve bootstrap for time series

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

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

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COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY

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

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

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

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

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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

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

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Bootstrap tests: how many bootstraps?

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

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The power of bootstrap and asymptotic tests

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Recent developments in bootstrap methodology

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Spectral tests of the martingale hypothesis under conditional heteroscedasticity

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

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

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Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

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Q3911791

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

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ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

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Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

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Testing for reduction to random walk in autoregressive conditional heteroskedasticity models

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

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TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

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Estimation and Asymptotic Inference in the AR-ARCH Model

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Estimation and Testing Stationarity for Double-Autoregressive Models

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Q5434016

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

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

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

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Bootstrap and wild bootstrap for high dimensional linear models

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Subsampling

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full work available at URL

https://doi.org/10.1017/s0266466620000067

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Identifiers

zbMATH Open document ID

1462.62528

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DOI

10.1017/S0266466620000067

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5859567

@@ Property / full work available at URL @@
+https://doi.org/10.1017/s0266466620000067
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+W2948964015
@@ Property / OpenAlex ID: W2948964015 / rank @@
+Normal rank