On the consistency of bootstrap testing for a parameter on the boundary of the parameter space
DOI10.1111/JTSA.12214zbMATH Open1416.62480OpenAlexW2535596699MaRDI QIDQ5283409FDOQ5283409
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
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Cites Work
- Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
- Making The Most Out Of Programme Evaluations and Social Experiments: Accounting For Heterogeneity in Programme Impacts
- Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
- Testing When a Parameter is on the Boundary of the Maintained Hypothesis
- Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
- Estimation When a Parameter is on a Boundary
- The power of bootstrap and asymptotic tests
- Bootstrap tests: how many bootstraps?
- A Three-step Method for Choosing the Number of Bootstrap Repetitions
- Asymptotic Normality of the QMLE Estimator of ARCH in the Nonstationary Case
- Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
- ASYMPTOTICS OF THE QMLE FOR A CLASS OF ARCH(q) MODELS
- Estimation and asymptotic inference in the AR-ARCH model
- Bootstrap determination of the co-integration rank in vector autoregressive models
- Inference on co-integration parameters in heteroskedastic vector autoregressions
- Robust Lagrange multiplier test for detecting ARCH/GARCH effect using permutation and bootstrap
Cited In (10)
- Shape-Constrained Kernel-Weighted Least Squares: Estimating Production Functions for Chilean Manufacturing Industries
- Non-standard inference for augmented double autoregressive models with null volatility coefficients
- Flexible bivariate INGARCH process with a broad range of contemporaneous correlation
- Specification Tests for GARCH Processes with Nuisance Parameters on the Boundary
- Bootstrap inference on the boundary of the parameter space, with application to conditional volatility models
- 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
- A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
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