Bootstrapping time series models

DOI10.1080/07474939608800344MaRDI QIDQ4883731zbMATH OpenOpenAlexFDO

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

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)

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Cited in

(51)

• Heteroskedasticity-consistent covariance matrix estimation:white's estimator and the bootstrap^∗
• A model-free test for independence between time series
• On the finite-sample accuracy of nonparametric resampling algorithms for economic time series
• Linear bootstrap methods for vector autoregressive moving-average models
• 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
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• 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
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• scientific article; zbMATH DE number 2063760 (Why is no real title available?)
• scientific article; zbMATH DE number 638111 (Why is no real title available?)
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• Finite-sample simulation-based inference in VAR models with application to Granger causality testing
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• scientific article; zbMATH DE number 218656 (Why is no real title available?)
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• New small sample estimators for cointegration regression: low-pass spectral filter method

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