Recent developments in bootstrapping time series
From MaRDI portal
DOI10.1080/07474930008800457zbMATH Open0949.62022OpenAlexW2019986161WikidataQ126257385 ScholiaQ126257385MaRDI QIDQ4493472FDOQ4493472
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
Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Cites Work
- Title not available (Why is that?)
- Sieve bootstrap for time series
- Bootstrap: more than a stab in the dark? With discussion and a rejoinder by the author
- The jackknife and the bootstrap for general stationary observations
- Edgeworth correction by bootstrap in autoregressions
- Bootstrap procedures under some non-i.i.d. models
- Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
- Title not available (Why is that?)
- The Stationary Bootstrap
- Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
- Sieve bootstrap for smoothing in nonstationary time series
- Bootstrapping unstable first-order autoregressive processes
- On blocking rules for the bootstrap with dependent data
- Bootstrap Technology and Applications
- Automatic Lag Selection in Covariance Matrix Estimation
- On bootstrapping kernel spectral estimates
- A general resampling scheme for triangular arrays of \(\alpha\)-mixing random variables with application to the problem of spectral density estimation
- Validity of blockwise bootstrap for empirical processes with stationary observations
- Blockwise bootstrapped empirical process for stationary sequences
- Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
- Bootstrap Prediction Intervals for Autoregression
- Dynamic Equilibrium Economies: A Framework for Comparing Models and Data
- DETERMINING THE BANDWIDTH OF A KERNEL SPECTRUM ESTIMATE
- Title not available (Why is that?)
- ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
- Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
- ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
- Confidence intervals for impulse responses under departures from normality
- Bootstrapping time series models
- Bootstrapping general first order autoregression
- On asymptotic properties of bootstrap for AR(1) processes
- Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
- On the moving block bootstrap under long range dependence
- Bootstrap confidence bands for spectra and cross-spectra
- Bootstrapping State-Space Models: Gaussian Maximum Likelihood Estimation and the Kalman Filter
- BIASES OF ESTIMATORS IN MULTIVARIATE NON-GAUSSIAN AUTOREGRESSIONS
- On the asymptotic behaviour of the moving block bootstrap for normalized sums of heavy-tail random variables
- Bootstrap in moving average models
- Second order optimality of stationary bootstrap
- Controversies in the Foundations of Statistics
- Bootstrapping explosive autoregressive processes
- ON BOOTSTRAP PREDICTIVE INFERENCE FOR AUTOREGRESSIVE PROCESSES
- Limit theory and bootstrap for explosive and partially explosive autoregression
- A NOTE ON AIC ORDER DETERMINATION FOR MULTIVARIATE AUTOREGRESSIONS
Cited In (49)
- 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
- 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
Recommendations
This page was built for publication: Recent developments in bootstrapping time series
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4493472)
