Wild bootstrap tests for autocorrelation in vector autoregressive models

DOI10.1007/S00362-016-0744-0zbMATH Open1383.62203OpenAlexW2170822754MaRDI QIDQ1685299FDOQ1685299

Niklas Ahlgren, Paul Catani

Publication date: 13 December 2017

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10138/36634

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zbMATH Keywords

conditional heteroskedasticityautocorrelationwild bootstrapvector autoregressive modelLagrange multiplier testheteroskedasticity-consistent covariance matrix estimator

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Testing for linear autoregressive dynamics under heteroskedasticity
• Linear Statistical Inference and its Applications
• Inference in VARs with conditional heteroskedasticity of unknown form
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
• Jackknife, bootstrap and other resampling methods in regression analysis
• Bootstrap and wild bootstrap for high dimensional linear models
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• New introduction to multiple time series analysis.
• The wild bootstrap, tamed at last
• Misspecification tests and their uses in econometrics
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• The power of bootstrap and asymptotic tests
• Reducing confidence bands for simulated impulse responses
• Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Residual autocorrelation testing for vector error correction models
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
• Testing autocorrelation in a system perspective testing autocorrelation
• Confidence intervals for impulse responses under departures from normality
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Testing for volatility interactions in the Constant Conditional Correlation GARCH model
• AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
• Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
• Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
• Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
• Testing for serial correlation in multivariate regression models
• A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
• Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration
• Bootstrapping Autoregression under Non-stationary Volatility
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• Bootstrap determination of the co-integration rank in vector autoregressive models
• Implementing the wild bootstrap using a two-point distribution
• Corrigendum to Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• Title not available (Why is that?)
• Bootstrapping impulse responses in VAR analyses
• Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

Cited In (8)

• On the performance of weighted bootstrapped kernel deconvolution density estimators
• Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
• Testing for serial independence in vector autoregressive models
• Title not available (Why is that?)
• Wild Bootstrap Tests for IV Regression
• Wild bootstrap Ljung-Box test for cross correlations of multivariate time series
• Tests for serial correlation in mean and variance of a sequence of time series objects
• On the vector-valued generalized autoregressive models

Uses Software

• R
• ccgarch

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