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)

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Cites work

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• Variance stabilization and the bootstrap

Cited in

(6)

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

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