Bootstrapping time series models

DOI10.1080/07474939608800344zbMATH Open0855.62074OpenAlexW2141221125MaRDI QIDQ4883731FDOQ4883731

Authors: Hongyi Li, G. S. Maddala 

Publication date: 9 February 1997

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474939608800344

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• scientific article; zbMATH DE number 638111

zbMATH Keywords

residualsdynamic modelsstationary bootstraptime series modelsdata generationmoving block bootstraptest statisticsrecent developmentsrecursive bootstrapcointegrating regression models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

Cites Work

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Cited In (51)

• A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP
• Tests of random walk: A comparison of bootstrap approaches
• Bootstrapping Macroeconometric Models
• Recent developments in bootstrapping time series
• The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models
• Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
• A better way to bootstrap pairs.
• Estimation and inference in sur models when the number of equations is large
• An overview of bootstrap methods for estimating and predicting in time series
• Bootstrap LR tests of stationarity, common trends and cointegration
• Title not available (Why is that?)
• Bootstrap approaches for estimation and confidence intervals of long memory processes
• Title not available (Why is that?)
• Bootstrap tests for time varying cointegration
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• Bootstrap tests for nonparametric comparison of regression curves with dependent errors
• Bootstrap prediction intervals for autoregressive time series
• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
• The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
• Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes
• A model of fractional cointegration, and tests for cointegration using the bootstrap.
• On improving the robustness and reliability of Rao's score test
• Half-life estimation based on the bias-corrected bootstrap: a highest density region approach
• Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment
• Time Series
• A simple bootstrap method for time series
• A Gini-based unit root test
• Bootstraps for time series
• Bootstraping time series regressions with integrated process
• Bootstrap tests for unit roots based on LAD estimation
• Inconsistency of bootstrap for nonstationary, vector autoregressive processes
• Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence
• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• Leverage-adjusted heteroskedastic bootstrap methods
• Bootstrap Methods for Time Series
• Multiple forecasts with autoregressive time series models: Case studies.
• Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change
• The power of bootstrap based tests for parameters in cointegrating regressions
• Bootstrap methods for dependent data: a review
• Bootstrap point optimal unit root tests
• Title not available (Why is that?)
• On bootstrapping regressions with unit root processes
• Wavelet-Based Bootstrap for Time Series Analysis
• Bootstrap tests: how many bootstraps?
• The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors
• Bootstrap hypothesis testing in regression models
• New small sample estimators for cointegration regression: low-pass spectral filter method
• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• Linear bootstrap methods for vector autoregressive moving-average models
• A model-free test for independence between time series
• On the finite-sample accuracy of nonparametric resampling algorithms for economic time series

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