Recent developments in bootstrapping time series
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Publication:4493472
DOI10.1080/07474930008800457zbMATH Open0949.62022OpenAlexW2019986161WikidataQ126257385 ScholiaQ126257385MaRDI QIDQ4493472FDOQ4493472
Authors: Jeremy Berkowitz, Lutz Kilian 
Publication date: 20 November 2000
Published in: Econometric Reviews (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/07474930008800457
Recommendations
Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Cites Work
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- A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS
Cited In (50)
- Bootstrap-based inferential improvements in beta autoregressive moving average model
- A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
- Tests of random walk: A comparison of bootstrap approaches
- Empirical likelihood block bootstrapping
- A novel method to accurately calculate statistical significance of local similarity analysis for high-throughput time series
- Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
- Graphical methods for investigating the finite-sample properties of confidence regions
- Semiparametric estimation of long-memory volatility dependencies: The role of high-frequency data
- Bootstrap LR tests of stationarity, common trends and cointegration
- Bootstrap-based bias corrections for INAR count time series
- Estimation and control of an optimization-based model with sticky prices and wages
- Model selection criteria for reduced rank multivariate time series: a simulation study
- Improved nonparametric confidence intervals in time series regressions
- Joint confidence sets for structural impulse responses
- How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
- Bootstrapping time series models
- Bootstrap tests for nonparametric comparison of regression curves with dependent errors
- Bootstrap Type-1 Fuzzy Functions Approach for Time Series Forecasting
- Bootstrap prediction intervals for autoregressive time series
- Title not available (Why is that?)
- Finite-sample simulation-based inference in VAR models with application to Granger causality testing
- Evaluating Direct Multistep Forecasts
- Skewness-adjusted bootstrap confidence intervals and confidence bands for impulse response functions
- Prediction Intervals for Time Series: A Modified Sieve Bootstrap Approach
- Half-life estimation based on the bias-corrected bootstrap: a highest density region approach
- Short-horizon return predictability and oil prices
- Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment
- How accurate are confidence intervals for impulse responses in large VAR models?
- Computational framework for longevity risk management
- A tale of two correlations: evidence and theory regarding the phase shift between the price level and output
- DATA-DRIVEN NONPARAMETRIC SPECTRAL DENSITY ESTIMATORS FOR ECONOMIC TIME SERIES: A MONTE CARLO STUDY
- Analytical evaluation of the power of tests for the absence of cointegration
- A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
- Leverage-adjusted heteroskedastic bootstrap methods
- Automatic Block-Length Selection for the Dependent Bootstrap
- Forecasting vector autoregressions with mixed roots in the vicinity of unity
- Short and long run causality measures: theory and inference
- Nonlinear ARMA models with functional MA coefficients
- Forecasting the COVID-19 diffusion in Italy and the related occupancy of intensive care units
- Bootstrap methods for dependent data: a review
- Bootstrap point optimal unit root tests
- Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
- On the estimation bias in first-order bifurcating autoregressive models
- A new bootstrap-based forecast evaluation method tested on time series
- A new method for estimating the forecast quality with consideration for the errors of calculating the unknown parameters
- Construction of multi-step forecast regions of VAR processes using ordered block bootstrap
- Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap∗
- Linear bootstrap methods for vector autoregressive moving-average models
- On the finite-sample accuracy of nonparametric resampling algorithms for economic time series
- Bootstrap-based ARMA order selection
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