Wild bootstrap tests for autocorrelation in vector autoregressive models
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Cites work
- A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity
- A TEST OF AUTOCORRELATION IN THE PRESENCE OF HETEROSKEDASTICITY OF UNKNOWN FORM
- AN EXTENDED CONSTANT CONDITIONAL CORRELATION GARCH MODEL AND ITS FOURTH-MOMENT STRUCTURE
- Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
- Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
- 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
- Bootstrap and wild bootstrap for high dimensional linear models
- Bootstrap determination of the co-integration rank in heteroskedastic VAR models
- Bootstrap determination of the co-integration rank in vector autoregressive models
- Bootstrap methods for single structural change tests: power versus corrected size and empirical illustration
- Bootstrapping Autoregression under Non-stationary Volatility
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- Bootstrapping impulse responses in VAR analyses
- Bootstrapping the Box-Pierce Q test: a robust test of uncorrelatedness
- Cointegration rank testing under conditional heteroskedasticity
- Comparison of bootstrap confidence intervals for impulse responses of German monetary systems
- Confidence intervals for impulse responses under departures from normality
- Corrigendum to Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Finite-sample multivariate tests for ARCH in vector autoregressive models
- Implementing the wild bootstrap using a two-point distribution
- Inference in VARs with conditional heteroskedasticity of unknown form
- Jackknife, bootstrap and other resampling methods in regression analysis
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Linear Statistical Inference and its Applications
- Misspecification tests and their uses in econometrics
- New introduction to multiple time series analysis.
- Reducing confidence bands for simulated impulse responses
- Residual autocorrelation testing for vector error correction models
- Testing autocorrelation in a system perspective testing autocorrelation
- Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Testing for cross-sectional dependence in a panel factor model using the wild bootstrap \(F\) test
- Testing for linear autoregressive dynamics under heteroskedasticity
- Testing for serial correlation in multivariate regression models
- Testing for volatility interactions in the Constant Conditional Correlation GARCH model
- The power of bootstrap and asymptotic tests
- The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
- The wild bootstrap, tamed at last
Cited in
(11)- On the performance of weighted bootstrapped kernel deconvolution density estimators
- Wild-bootstrapped variance-ratio test for autocorrelation in the presence of heteroskedasticity
- The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
- Wild bootstrap Ljung-Box test for residuals of ARMA models robust to variance change
- Residual autocorrelation testing for vector error correction models
- Testing for serial independence in vector autoregressive models
- scientific article; zbMATH DE number 5864669 (Why is no real title available?)
- 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
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