A Bootstrap Stationarity Test for Predictive Regression Invalidity
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Cites work
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- scientific article; zbMATH DE number 3800668 (Why is no real title available?)
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Instrumental variable and variable addition based inference in predictive regressions
- Nearly optimal tests when a nuisance parameter is present under the null hypothesis
- On Confidence Intervals for Autoregressive Roots and Predictive Regression
- Optimal Inference in Regression Models with Nearly Integrated Regressors
- Size and power of tests of stationarity in highly autocorrelated time series
- Spectral tests of the martingale hypothesis under conditional heteroscedasticity
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- Strong and conditional invariance principles for samples attracted to stable laws
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Testing for parameter instability in predictive regression models
- Testing for structural change in conditional models
- Testing instability in a predictive regression model with nonstationary regressors
- Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
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