A bootstrap theory for weakly integrated processes

DOI10.1016/J.JECONOM.2005.06.009MaRDI QIDQ275255zbMATH OpenOpenAlexFDO

Authors Joon Y. Park

Publication date 25 April 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.06.009

zbMATH Keywords

bootstrapconsistencyasymptotic refinementlinear processessieve bootstrapunit rootweakly integrated processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Recommendations

• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Bootstrap Unit Root Tests
• Bootstrapping unit root tests for integrated processes
• On bootstrapping regressions with unit root processes
• Residual-Based Block Bootstrap for Unit Root Testing

Cites work

• scientific article; zbMATH DE number 3820821 (Why is no real title available?)
• A Sieve Bootstrap For The Test Of A Unit Root
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Bootstrap Unit Root Tests
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Bootstrapping and related techniques. Proceedings of an international conference, held in Trier, Germany, June 4-8, 1990
• Bootstrapping cointegrating regressions
• Bootstrapping unstable first-order autoregressive processes
• Comportement asymptotique du temps d'occupation du processus des sommes partielles. (Asymptotical behavior of the occupation time of partial sums)
• Edgeworth correction by bootstrap in autoregressions
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Sieve bootstrap for time series
• Testing the autoregressive parameter with the t statistic

Cited in

(7)

• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
• NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS
• Robust block bootstrap panel predictability tests
• Nonparametric testing for long-horizon predictability with persistent covariates
• On bootstrap implementation of likelihood ratio test for a unit root
• Second order expansion of the \(T\)-statistic in AR(1) models
• Identification robust inference in cointegrating regressions

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