Bootstrapping time series models

DOI10.1080/07474939608800344zbMath0855.62074OpenAlexW2141221125MaRDI QIDQ4883731

G. S. Maddala, Hongyi Li

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

zbMATH Keywords

residualstest statisticsstationary bootstrapdynamic modelsdata generationtime series modelsmoving block bootstraprecent developmentsrecursive bootstrapcointegrating regression models

Mathematics Subject Classification ID

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

Related Items (41)

Bootstraps for 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 LR tests of stationarity, common trends and cointegration ⋮ Bootstrap tests for nonparametric comparison of regression curves with dependent errors ⋮ Leverage-adjusted heteroskedastic bootstrap methods ⋮ A Gini-based unit root test ⋮ Testing for seasonal unit roots in heterogeneous panels in the presence of cross section dependence ⋮ Bootstrap point optimal unit root tests ⋮ Bootstrap prediction intervals for autoregressive models fitted to non-autoregressive processes ⋮ A better way to bootstrap pairs. ⋮ Multiple forecasts with autoregressive time series models: Case studies. ⋮ Bootstrap tests for unit roots based on LAD estimation ⋮ New small sample estimators for cointegration regression: low-pass spectral filter method ⋮ Bootstrap approaches for estimation and confidence intervals of long memory processes ⋮ Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗ ⋮ Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test ⋮ The wild bootstrap and heteroskedasticity-robust tests for serial correlation in dynamic regression models ⋮ A model-free test for independence between time series ⋮ On improving the robustness and reliability of Rao's score test ⋮ Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment ⋮ Testing Parameter Constancy in Stationary Vector Autoregressive Models Against Continuous Change ⋮ Wavelet-Based Bootstrap for Time Series Analysis ⋮ Bootstrap methods for dependent data: a review ⋮ A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ Half-life estimation based on the bias-corrected bootstrap: a highest density region approach ⋮ Bootstrap prediction intervals for autoregressive time series ⋮ A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP ⋮ The power of bootstrap based tests for parameters in cointegrating regressions ⋮ Tests of random walk: A comparison of bootstrap approaches ⋮ On bootstrapping regressions with unit root processes ⋮ Bootstrap hypothesis testing in regression models ⋮ Recent developments in bootstrapping time series ⋮ Bootstrap tests: how many bootstraps? ⋮ Estimation and inference in sur models when the number of equations is large ⋮ Inconsistency of bootstrap for nonstationary, vector autoregressive processes ⋮ Bootstrap tests for time varying cointegration ⋮ A model of fractional cointegration, and tests for cointegration using the bootstrap. ⋮ How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach ⋮ The size and power of the bias-corrected bootstrap test for regression models with autocorrelated errors

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