Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
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Cites work
- A self-normalized approach to confidence interval construction in time series
- A sieve bootstrap test for cointegration in a conditional error correction model
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- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Block bootstrap theory for multivariate integrated and cointegrated processes
- Bootstrap hypothesis testing in regression models
- Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models
- Bootstrap-assisted unit root testing with piecewise locally stationary errors
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
- Bootstrapping cointegrating regressions
- Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
- Econometric estimates of Earth's transient climate sensitivity
- Efficient Tests for an Autoregressive Unit Root
- Estimating Long-Run Economic Equilibria
- Estimator Choice and Fisher's Paradox: A Monte Carlo Study
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- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Heteroskedasticity-Autocorrelation Robust Standard Errors Using The Bartlett Kernel Without Truncation
- How to estimate autoregressive roots near unity
- How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
- scientific article; zbMATH DE number 3765004 (Why is no real title available?)
- scientific article; zbMATH DE number 1911817 (Why is no real title available?)
- Inference in VARs with conditional heteroskedasticity of unknown form
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- Low-frequency robust cointegration testing
- Model selection criteria for the leads-and-lags cointegrating regression
- On bootstrap inference in cointegrating regressions
- On linear processes with dependent innovations
- ON THE ALTERNATIVE LONG-RUN VARIANCE RATIO TEST FOR A UNIT ROOT
- On the relationship between the theory of cointegration and the theory of phase synchronization
- On the vector autoregressive sieve bootstrap
- Optimal estimation of cointegrated systems with irrelevant instruments
- Optimal instrumental variables estimation for ARMA models
- Residual-Based Block Bootstrap for Unit Root Testing
- Self-Normalization for Time Series: A Review of Recent Developments
- Sieve bootstrap for time series
- Simple Robust Testing of Regression Hypotheses
- Simple, robust, and accurate \(F\) and \(t\) tests in cointegrated systems
- Stationary bootstrapping for cointegrating regressions
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Structural vector autoregressive analysis
- 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 dependent wild bootstrap
- The Stationary Bootstrap
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