Bootstrapping Autoregressive Processes with Possible Unit Roots

DOI10.1111/1468-0262.00281MaRDI QIDQ5474969zbMATH OpenOpenAlexFDO

Authors Atsushi Inoue, Lutz Kilian

Publication date 16 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1468-0262.00281

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(30)

• Linear bootstrap methods for vector autoregressive moving-average models
• A note on bootstrapping unit root tests in the presence of a non-zero drift
• Bootstrap-based inferential improvements in beta autoregressive moving average model
• Granger's representation theorem: A closed‐form expression for I(1) processes
• Heteroskedastic time series with a unit root
• Inference for impulse response coefficients from multivariate fractionally integrated processes
• A bootstrap theory for weakly integrated processes
• Monte Carlo tests with nuisance parameters: a general approach to finite-sample inference and nonstandard asymptotics
• Stationary bootstrapping for semiparametric panel unit root tests
• Bootstrap prediction intervals for autoregressive time series
• Testing for co-integration in vector autoregressions with non-stationary volatility
• INSTRUMENTAL VARIABLE ESTIMATION OF STRUCTURAL VAR MODELS ROBUST TO POSSIBLE NONSTATIONARITY
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
• Expectations hypotheses tests at Long Horizons
• Bootstrap refinements for QML estimators of the GARCH(1,1) parameters
• Expectations hypotheses tests at Long Horizons
• Inference for local projections
• The continuity of the limit distribution in the parameter of interest is not essential for the validity of the bootstrap
• Cointegration rank testing under conditional heteroskedasticity
• Sieve bootstrapt-tests on long-run average parameters
• Impulse response confidence intervals for persistent data: what have we learned?
• Analytical evaluation of the power of tests for the absence of cointegration
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• Inconsistency of bootstrap for nonstationary, vector autoregressive processes
• The uniform validity of impulse response inference in autoregressions
• Bootstrap Unit Root Tests
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Delta-method inference for a class of set-identified SVARs
• Bootstrapping the HEGY seasonal unit root tests

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