Tests of random walk: A comparison of bootstrap approaches
From MaRDI portal
Publication:1037439
DOI10.1007/s10614-009-9180-8zbMath1177.62057OpenAlexW2035352209MaRDI QIDQ1037439
Eduardo J. A. Lima, Benjamin Miranda Tabak
Publication date: 16 November 2009
Published in: Computational Economics (Search for Journal in Brave)
Full work available at URL: https://repositorio.ucb.br:9443/jspui/handle/123456789/7608
Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15) Nonparametric statistical resampling methods (62G09) Monte Carlo methods (65C05) Sums of independent random variables; random walks (60G50)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Resampling a coverage pattern
- Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- On the asymptotic accuracy of Efron's bootstrap
- Bootstrap methods: another look at the jackknife
- A simple multiple variance ratio test
- Subsampling for heteroskedastic time series
- Regression-type inference in nonparametric autoregression
- Theoretical comparisons of block bootstrap methods
- Jackknife, bootstrap and other resampling methods in regression analysis
- The jackknife and the bootstrap for general stationary observations
- Evaluating GARCH models.
- A multiple variance ratio test using subsampling
- The performance of variance ratio unit root tests under nonlinear stationary TAR and STAR processes: evidence from Monte Carlo simulations and applications
- Tests of long memory: a bootstrap approach
- Bootstrap methods for heteroskedastic regression models: evidence on estimation and testing
- ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
- The Stationary Bootstrap
- BIAS-CORRECTED NONPARAMETRIC SPECTRAL ESTIMATION
- Automatic Block-Length Selection for the Dependent Bootstrap
- Recent developments in bootstrapping time series
- On blocking rules for the bootstrap with dependent data
- Bootstrapping time series models
- The impact of bootstrap methods on time series analysis
This page was built for publication: Tests of random walk: A comparison of bootstrap approaches
