Resampling methods in econometrics

DOI10.1016/j.jeconom.2005.06.001zbMath1344.00017OpenAlexW2064333666MaRDI QIDQ275241

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Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.001

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Proceedings of conferences of miscellaneous specific interest (00B25)

Cites Work

• The Pricing of Options and Corporate Liabilities
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Bootstrap methods: another look at the jackknife
• Nonparametric option pricing under shape restrictions
• Bootstrapping unstable first-order autoregressive processes
• A Theory of the Term Structure of Interest Rates
• Modified Randomization Tests for Nonparametric Hypotheses
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• The Stationary Bootstrap
• A Conditional Kolmogorov Test
• Bootstrapping unit root tests for integrated processes
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• An equilibrium characterization of the term structure
• The bootstrap and Edgeworth expansion

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