A simple bootstrap test for time series regression models

DOI10.1080/10485250500039403MaRDI QIDQ4675952zbMATH OpenOpenAlexFDO

Authors Dingding Li

Publication date 6 May 2005

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/10485250500039403

zbMATH Keywords

wild bootstrapdependent dataconsistent test

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Recommendations

• Bootstrap tests for simple structures in nonparametric time series regression
• A bootstrap test for time series linearity
• A simple bootstrap method for time series
• Bootstrap-based tests for deterministic time-varying coefficients in regression models
• Bootstrapping a time series model: some empirical results
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• Nonparametric bootstrap tests for neglected nonlinearity in time series regression models^∗
• Publication:4936192
• Bootstrapping Unit Root Tests for Autoregressive Time Series

Cites work

• A Consistent Conditional Moment Test of Functional Form
• A consistent test of functional form via nonparametric estimation techniques
• A simple consistent bootstrap test for a parametric regression function
• An Adaptive, Rate-Optimal Test of a Parametric Mean-Regression Model Against a Nonparametric Alternative
• Asymptotic Theory of Integrated Conditional Moment Tests
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Comparing nonparametric versus parametric regression fits
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Consistent Specification Testing Via Nonparametric Series Regression
• Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
• Consistent model specification tests for time series econometric models
• Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
• Hypothesis Testing in Semiparametric and Nonparametric Models for Econometric Time Series
• Nonparametric tests of linearity for time series
• Significance testing in nonparametric regression based on the bootstrap.
• Testing the Goodness of Fit of a Linear Model Via Nonparametric Regression Techniques

Cited in

(9)

• Bootstraping time series regressions with integrated process
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• Bootstrap entropy test for general location-scale time series models with heteroscedasticity
• On Robustness of Model-Based Bootstrap Schemes in Nonparametric Time Series Analysis
• Bootstrap tests for simple structures in nonparametric time series regression
• An alternative bootstrap to moving blocks for time series regression models
• Testing for the presence of jump components in jump diffusion models
• A bootstrap test for the comparison of nonlinear time series
• A bootstrap-based KPSS test for functional time series

This page was built for publication: A simple bootstrap test for time series regression models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4675952)