AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES

DOI10.1017/S0266466602182090zbMATH Open1109.62346OpenAlexW2089616760MaRDI QIDQ4807296FDOQ4807296

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

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Cited In (37)

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

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