Alternative bootstrap procedures for testing cointegration in fractionally integrated processes

DOI10.1016/J.JECONOM.2005.06.012MaRDI QIDQ275262zbMATH OpenOpenAlexWikidataFDO

Authors James Davidson

Publication date 25 April 2016

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

Full work available at URL http://hdl.handle.net/10036/28772

zbMATH Keywords

fractional cointegrationbootstrap tests

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 4213240 (Why is no real title available?)
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• Asymptotic Properties of Residual Based Tests for Cointegration
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Bootstrapping unstable first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Inference on the cointegration rank in fractionally integrated processes.
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
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• THE SIZE DISTORTION OF BOOTSTRAP TESTS
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• Testing for unit roots in autoregressive-moving average models of unknown order
• 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?
• The bootstrap and Edgeworth expansion
• The bootstrap and hypothesis tests in econometrics
• The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes

Cited in

(18)

• The fast iterated bootstrap
• Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
• Tests for cointegration with structural breaks based on subsamples
• A Wald test for the cointegration rank in nonstationary fractional systems
• REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
• Bootstrap-based testing inference in beta regressions
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• A procedure to detect hidden cointegration with the sieve bootstrap
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• Bootstrap tests for fractional integration and cointegration: a comparison study
• Likelihood based testing for no fractional cointegration
• Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
• Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
• A test for fractional cointegration using the sieve bootstrap
• Residual-based test for fractional cointegration
• Bootstrap neural network cointegration tests against nonlinear alternative hypotheses
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Type I and type II fractional Brownian motions: a reconsideration

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