AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES

DOI10.1017/S0266466602182090MaRDI QIDQ4807296zbMATH OpenOpenAlexFDO

Authors Joon Y. Park

Publication date 18 May 2003

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466602182090

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Functional limit theorems; invariance principles (60F17)

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Cited in

(37)

• A sieve bootstrap test for stationarity.
• Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
• Bootstrap unit root tests in panels with cross-sectional dependency
• Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes
• Testing for the cointegration rank in threshold cointegrated systems with multiple cointegrating relationships
• A bootstrap theory for weakly integrated processes
• Bootstrapping cointegrating regressions
• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• Micro versus macro cointegration in heterogeneous panels
• Sieve bootstrap for functional time series
• Bootstrap Unit-Root Tests: Comparison and Extensions
• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
• On bootstrap implementation of likelihood ratio test for a unit root
• Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
• On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations
• Sieve bootstrap for smoothing in nonstationary time series
• BootstrapMUnit Root Tests
• Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
• The performance of panel cointegration methods: results from a large scale simulation study
• A sieve bootstrap test for cointegration in a conditional error correction model
• A test for fractional cointegration using the sieve bootstrap
• Heteroskedastic time series with a unit root
• Sieve-based inference for infinite-variance linear processes
• Bootstrap methods for dependent data: a review
• Bootstrapping I(1) data
• On bootstrapping panel factor series
• Size improvement of the KPSS test using sieve bootstraps
• On the vector autoregressive sieve bootstrap
• A bootstrap-based KPSS test for functional time series
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• Bootstrapping the HEGY seasonal unit root tests
• Detrending bootstrap unit root tests
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Modified fast double sieve bootstraps for ADF tests
• Nonlinear models for strongly dependent processes with financial applications
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Sieve bootstrap inference for linear time-varying coefficient models

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