Bootstrapping Autoregression under Non-stationary Volatility
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Recommendations
- Bootstrap in nonstationary autoregression.
- Robustifying multivariate trend tests to nonstationary volatility
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- Regression with Nonstationary Volatility
Cites work
- A NECESSARY AND SUFFICIENT CONDITION FOR THE STRICT STATIONARITY OF A FAMILY OF GARCH PROCESSES
- Adaptive estimation of autoregressive models with time-varying variances
- An Asymtotic Theory of Bayesian Inference for Time Series
- ARCH models as diffusion approximations
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap in moving average models
- Bootstrap procedures under some non-i.i.d. models
- BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Chi-Square Diagnostic Tests for Econometric Models: Theory
- Econometric Model Determination
- Edgeworth correction by bootstrap in autoregressions
- Heteroskedastic time series with a unit root
- scientific article; zbMATH DE number 777596 (Why is no real title available?)
- scientific article; zbMATH DE number 3274494 (Why is no real title available?)
- Inference in Autoregression under Heteroskedasticity
- Jackknife, bootstrap and other resampling methods in regression analysis
- Linear Statistical Inference and its Applications
- Nonlinear Regressions with Integrated Time Series
- Nonstationary nonlinear heteroskedasticity in regression
- Nonstationary nonlinear heteroskedasticity.
- On the Stable Paretian Behavior of Stock-Market Prices
- Regression with Nonstationary Volatility
- Robustness of residual-based bootstrap to the composition of serially correlated errors
- Spurious regressions in econometrics
- STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
- Stochastic Limit Theory
- Testing for a unit root in the presence of a variance shift
- Testing for linear autoregressive dynamics under heteroskedasticity
- Testing for unit roots in time series models with non-stationary volatility
- Testing stationarity under a permanent variance shift
- Time series: theory and methods.
- Understanding spurious regressions in econometrics
- Unit Root Tests under Time-Varying Variances
- Unit root tests with a break in innovation variance.
Cited in
(14)- Wild bootstrap tests for autocorrelation in vector autoregressive models
- Autoregressive wild bootstrap inference for nonparametric trends
- Inconsistency of bootstrap for nonstationary, vector autoregressive processes
- Bootstrap tests for parametric volatility structure in nonparametric autoregression
- Cointegration rank testing under conditional heteroskedasticity
- Bootstrap in nonstationary autoregression.
- Bootstrap procedures for detecting multiple persistence shifts in heteroskedastic time series
- Robustifying multivariate trend tests to nonstationary volatility
- Adaptive long memory testing under heteroskedasticity
- Heteroskedastic time series with a unit root
- Testing for a unit root with nonstationary nonlinear heteroskedasticity
- Testing for linear vector autoregressive dynamics under multivariate generalized autoregressive heteroskedasticity
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Bootstrap prediction for returns and volatilities in GARCH models
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