Bootstrapping I(1) data

DOI10.1016/J.JECONOM.2010.01.010zbMATH Open1431.62412OpenAlexW3124370985MaRDI QIDQ736677FDOQ736677

Peter C. B. Phillips

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.01.010

Recommendations

• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrapping unit root tests for integrated processes
• Unit root bootstrap tests for AR (1) models
• A Sieve Bootstrap For The Test Of A Unit Root
• Bootstrapping Unit Root Tests for Autoregressive Time Series

zbMATH Keywords

bootstrapasymptotic theoryblock bootstrapBrownian motionembeddingunit rootcontinuous path bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Cites Work

• Bootstrap Unit-Root Tests: Comparison and Extensions
• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations
• Asymptotics for linear processes
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Sieve bootstrap for smoothing in nonstationary time series
• Bootstrapping unstable first-order autoregressive processes
• Unit root testing via the stationary bootstrap
• A Sieve Bootstrap For The Test Of A Unit Root
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrap Unit Root Tests
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Unit root log periodogram regression
• Time Series Regression with a Unit Root
• Title not available (Why is that?)
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Testing for unit roots in autoregressive-moving average models of unknown order
• Bootstrapping and related techniques. Proceedings of an international conference, held in Trier, Germany, June 4-8, 1990
• Title not available (Why is that?)
• Handbook of econometrics. Vol. 5
• Unit root and cointegrating limit theory when initialization is in the infinite past
• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy

Cited In (5)

• Bootstrapping. I
• DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
• Testing cointegration relationship in a semiparametric varying coefficient model
• Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
• A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS

This page was built for publication: Bootstrapping I(1) data

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q736677)