Bootstrap-based tests for deterministic time-varying coefficients in regression models

DOI10.1016/J.CSDA.2008.09.006MaRDI QIDQ961146zbMATH OpenOpenAlexFDO

Authors George Kapetanios

Publication date 30 March 2010

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2008.09.006

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Testing for smooth structural changes in time series models via nonparametric regression
• Estimating deterministically time-varying variances in regression models
• Testing for structural change in conditional models
• Testing for structural change in time-varying nonparametric regression models
• Testing structural change in time-series nonparametric regression models

Cites work

• scientific article; zbMATH DE number 3502628 (Why is no real title available?)
• scientific article; zbMATH DE number 3592801 (Why is no real title available?)
• scientific article; zbMATH DE number 627762 (Why is no real title available?)
• scientific article; zbMATH DE number 1943906 (Why is no real title available?)
• scientific article; zbMATH DE number 3233300 (Why is no real title available?)
• An algorithm to estimate time-varying parameter SURE models under different types of restriction
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Bootstrapping a consistent nonparametric goodness-of-fit test
• Density estimation using inverse and reciprocal inverse Gaussian kernels
• Edgeworth correction by bootstrap in autoregressions
• Fitting time series models to nonstationary processes
• Goodness-of-fit tests for kernel regression with an application to option implied volatilities
• How stable are monetary policy rules: estimating the time-varying coefficients in monetary policy reaction function for the US
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Nonparametric estimation of time varying parameters under shape restrictions
• On the asymptotic accuracy of Efron's bootstrap
• On the general bilinear time series model
• On the number of bootstrap simulations required to construct a confidence interval
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Resampling methods for dependent data
• STATIONARITY OF THE SOLUTION OF X_t= A_tX_t-1+ ε_tAND ANALYSIS OF NON-GAUSSIAN DEPENDENT RANDOM VARIABLES
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Tests of Equality Between Sets of Coefficients in Two Linear Regressions
• The Cusum Test with Ols Residuals
• The bootstrap and Edgeworth expansion
• Theoretical comparison of bootstrap confidence intervals
• Variance stabilization and the bootstrap

Cited in

(6)

• AN EXACT TEST FOR A STOCHASTIC COEFFICIENT IN A TIME SERIES REGRESSION MODEL
• Estimating deterministically time-varying variances in regression models
• Efficient Tests for General Persistent Time Variation in Regression Coefficients
• A simple bootstrap test for time series regression models
• Bootstrap entropy test for general location-scale time series models with heteroscedasticity
• Sieve bootstrap inference for linear time-varying coefficient models

This page was built for publication: Bootstrap-based tests for deterministic time-varying coefficients in regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q961146)