On the consistency of bootstrap testing for a parameter on the boundary of the parameter space

DOI10.1111/JTSA.12214MaRDI QIDQ5283409zbMATH OpenOpenAlexFDO

Authors Giuseppe Cavaliere, Heino Bohn Nielsen, Anders Rahbek

Publication date 21 July 2017

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://amsacta.unibo.it/5418/1/Quaderni_2016_6_Cavaliere_Consistency.pdf

zbMATH Keywords

bootstrapboundaryARCHlocation model

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Recommendations

• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• The fixed volatility bootstrap for a class of \(\mathrm{ARCH}(q)\) models
• Bootstrap tests when parameters of nonstationary time series models lie on the boundary of the parameter space
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• Bootstrapping the nonparametric ARCH regression model

Cites work

• A Three-step Method for Choosing the Number of Bootstrap Repetitions
• ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
• Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Bootstrap determination of the co-integration rank in vector autoregressive models
• Bootstrap tests: how many bootstraps?
• Estimation When a Parameter is on a Boundary
• Estimation and asymptotic inference in the AR-ARCH model
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Inference on co-integration parameters in heteroskedastic vector autoregressions
• Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
• Making The Most Out Of Programme Evaluations and Social Experiments: Accounting For Heterogeneity in Programme Impacts
• Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
• Testing When a Parameter is on the Boundary of the Maintained Hypothesis
• The power of bootstrap and asymptotic tests

Cited in

(10)

• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• Non-standard inference for augmented double autoregressive models with null volatility coefficients
• Shape-Constrained Kernel-Weighted Least Squares: Estimating Production Functions for Chilean Manufacturing Industries
• Flexible bivariate INGARCH process with a broad range of contemporaneous correlation
• Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
• Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
• The validity of bootstrap testing for threshold autoregression
• A smoothed \(p\)-value test when there is a nuisance parameter under the alternative
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• Conditional sum of squares estimation of \(k\)-factor GARMA models

Describes a project that uses

Uses Software

• Ox

This page was built for publication: On the consistency of bootstrap testing for a parameter on the boundary of the parameter space

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5283409)