Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
From MaRDI portal
Publication:275262
DOI10.1016/J.JECONOM.2005.06.012zbMATH Open1345.62057OpenAlexW2101416844WikidataQ57936776 ScholiaQ57936776MaRDI QIDQ275262FDOQ275262
Authors: James Davidson 
Publication date: 25 April 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10036/28772
Recommendations
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Bootstrap tests for fractional integration and cointegration: a comparison study
- On bootstrap inference in cointegrating regressions
- Bootstrapping cointegrating regressions
- A test for fractional cointegration using the sieve bootstrap
Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)
Cites Work
- Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
- A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
- THE SIZE DISTORTION OF BOOTSTRAP TESTS
- The bootstrap and Edgeworth expansion
- Bootstrapping unstable first-order autoregressive processes
- Distribution of the Estimators for Autoregressive Time Series With a Unit Root
- Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
- Statistical analysis of cointegration vectors
- Alternative forms of fractional Brownian motion
- Semiparametric analysis of long-memory time series
- The functional central limit theorem and weak convergence to stochastic integrals. II: Fractionally integrated processes
- Asymptotic Properties of Residual Based Tests for Cointegration
- Testing for a unit root in time series regression
- 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
- Testing for unit roots in autoregressive-moving average models of unknown order
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Structural relations, cointegration and identification: Some simple results and their application
- The bootstrap and hypothesis tests in econometrics
- Inference on the cointegration rank in fractionally integrated processes.
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Title not available (Why is that?)
Cited In (18)
- Type I and type II fractional Brownian motions: a reconsideration
- A procedure to detect hidden cointegration with the sieve bootstrap
- Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes
- Bootstrap tests for fractional integration and cointegration: a comparison study
- Improving the reliability of bootstrap tests with the fast double bootstrap
- Long memory and fractional differencing: revisiting Clive W. J. Granger's contributions and further developments
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Tests for cointegration with structural breaks based on subsamples
- Likelihood based testing for no fractional cointegration
- A test for fractional cointegration using the sieve bootstrap
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
- Bootstrap neural network cointegration tests against nonlinear alternative hypotheses
- REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES
- Bootstrap-based testing inference in beta regressions
- The fast iterated bootstrap
- Residual-based test for fractional cointegration
- A Wald test for the cointegration rank in nonstationary fractional systems
Uses Software
This page was built for publication: Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q275262)
