On bootstrapping regressions with unit root processes

DOI10.1016/S0167-7152(00)00005-5MaRDI QIDQ1573123zbMATH OpenFDO

Authors Hongyi Li, Zhijie Xiao, Hongyi Li

Publication date 20 May 2001

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(00)00005-5

zbMATH Keywords

bootstrapcointegrationunit root process

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Bootstraping time series regressions with integrated process
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Bootstrapping unit root tests for integrated processes
• Unit root testing via the stationary bootstrap

Cites work

• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Bootstrap methods: another look at the jackknife
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Bootstrapping explosive autoregressive processes
• Bootstrapping regression models
• Bootstrapping time series models
• Bootstrapping unstable first-order autoregressive processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Inference in Linear Time Series Models with some Unit Roots
• Multiple Time Series Regression with Integrated Processes
• Some asymptotic theory for the bootstrap
• Testing for Common Trends
• The bootstrap and Edgeworth expansion
• The power of bootstrap and asymptotic tests
• THE SIZE DISTORTION OF BOOTSTRAP TESTS
• Unit root bootstrap tests for AR (1) models

Cited in

(4)

• Stationary bootstrapping for semiparametric panel unit root tests
• Bootstraping time series regressions with integrated process
• A bootstrap theory for weakly integrated processes
• Bootstrapping Autoregressive Processes with Possible Unit Roots

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