A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models (Q5859567)

!

This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:

A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models

scientific article; zbMATH DE number 7334509

Language	Label	Description	Also known as
default for all languages	No label defined
English	A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models	scientific article; zbMATH DE number 7334509

Statements

instance of

scholarly article

0 references

title

A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS (English)

0 references

0 references

0 references

0 references

16 April 2021

0 references

zbMATH Keywords

time series models

0 references

bootstrap testing

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Estimation When a Parameter is on a Boundary

0 references

Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space

0 references

Testing When a Parameter is on the Boundary of the Maintained Hypothesis

0 references

A Three-step Method for Choosing the Number of Bootstrap Repetitions

0 references

Bootstrap of the mean in the infinite variance case

0 references

Bootstrapping unstable first-order autoregressive processes

0 references

The tail of the stationary distribution of an autoregressive process with \(\text{ARCH}(1)\) errors

0 references

Inference on co-integration parameters in heteroskedastic vector autoregressions

0 references

Martingale Central Limit Theorems

0 references

Sieve bootstrap for time series

0 references

Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models

0 references

On the consistency of bootstrap testing for a parameter on the boundary of the parameter space

0 references

Cointegration rank testing under conditional heteroskedasticity

0 references

Testing for co-integration in vector autoregressions with non-stationary volatility

0 references

Bootstrap determination of the co-integration rank in vector autoregressive models

0 references

Bootstrap determination of the co-integration rank in heteroskedastic VAR models

0 references

Testing for unit roots in time series models with non-stationary volatility

0 references

BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY

0 references

Heteroskedastic time series with a unit root

0 references

Bootstrap<i>M</i>Unit Root Tests

0 references

Non-stationarity and quasi-maximum likelihood estimation on a double autoregressive model

0 references

Bootstrap tests: how many bootstraps?

0 references

Bootstrap \(J\) tests of nonnested linear regression models

0 references

The power of bootstrap and asymptotic tests

0 references

Recent developments in bootstrap methodology

0 references

Spectral tests of the martingale hypothesis under conditional heteroscedasticity

0 references

Co-Integration and Error Correction: Representation, Estimation, and Testing

0 references

The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors

0 references

Bootstrapping general empirical measures

0 references

Bootstrapping autoregressions with conditional heteroskedasticity of unknown form

0 references

The bootstrap and Edgeworth expansion

0 references

Q3911791

0 references

Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case

0 references

ASYMPTOTIC INFERENCE FOR NONSTATIONARY GARCH

0 references

Likelihood-Based Inference in Cointegrated Vector Autoregressive Models

0 references

Testing for reduction to random walk in autoregressive conditional heteroskedasticity models

0 references

On the bootstrap of the sample mean in the infinite variance case

0 references

TESTING AND INFERENCE IN NONLINEAR COINTEGRATING VECTOR ERROR CORRECTION MODELS

0 references

Estimation and asymptotic inference in the AR-ARCH model

0 references

Estimation and Testing Stationarity for Double-Autoregressive Models

0 references

Q5434016

0 references

Self-weighted and local quasi-maximum likelihood estimators for ARMA-GARCH/IGARCH models

0 references

Limiting distributions of maximum likelihood estimators for unstable autoregressive moving-average time series with general autoregressive heteroscedastic errors

0 references

Asymptotic theory for a vector ARMA-GARCH model

0 references

Bootstrap procedures under some non-i.i.d. models

0 references

Bootstrap and wild bootstrap for high dimensional linear models

0 references

Time Series Regression with a Unit Root

0 references

Subsampling

0 references

Bootstrapping unit root tests for integrated processes

0 references

Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models

0 references

Jackknife, bootstrap and other resampling methods in regression analysis

0 references

full work available at URL

https://doi.org/10.1017/s0266466620000067

0 references

Identifiers

zbMATH Open document ID

1462.62528

0 references

DOI

10.1017/S0266466620000067

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models