Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
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Cites work
- scientific article; zbMATH DE number 4213240 (Why is no real title available?)
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Alternative forms of fractional Brownian motion
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- 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
- Semiparametric analysis of long-memory time series
- Statistical analysis of cointegration vectors
- Structural relations, cointegration and identification: Some simple results and their application
- THE SIZE DISTORTION OF BOOTSTRAP TESTS
- Testing for a unit root in time series regression
- 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
(19)- Type I and type II fractional Brownian motions: a reconsideration
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- A procedure to detect hidden cointegration with the sieve bootstrap
- Bootstrap tests for fractional integration and cointegration: a comparison study
- Improving the reliability of bootstrap tests with the fast double bootstrap
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Likelihood based testing for no fractional cointegration
- Tests for cointegration with structural breaks based on subsamples
- A test for fractional cointegration using the sieve bootstrap
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Fast double bootstrap tests for non-nested beta regressions.
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
- Bootstrap neural network cointegration tests against nonlinear alternative hypotheses
- REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
- Bootstrap-based testing inference in beta regressions
- The fast iterated bootstrap
- Residual-based test for fractional cointegration
- A Wald test for the cointegration rank in nonstationary fractional systems
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