Bootstrapping I(1) data

DOI10.1016/J.JECONOM.2010.01.010MaRDI QIDQ736677zbMATH OpenOpenAlexFDO

Authors 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

zbMATH Keywords

asymptotic theoryblock bootstrapbootstrapBrownian motioncontinuous path bootstrapembeddingunit root

Mathematics Subject Classification ID

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

Recommendations

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

Cites work

• A Sieve Bootstrap For The Test Of A Unit Root
• An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Asymptotics for linear processes
• Bootstrap Unit Root Tests
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Bootstrapping and related techniques. Proceedings of an international conference, held in Trier, Germany, June 4-8, 1990
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Bootstrapping unstable first-order autoregressive processes
• Handbook of econometrics. Vol. 5
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• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Residual-Based Block Bootstrap for Unit Root Testing
• Sieve bootstrap for smoothing in nonstationary time series
• Sieve bootstrap for time series
• Testing for unit roots in autoregressive-moving average models of unknown order
• The jackknife and the bootstrap for general stationary observations
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Time Series Regression with a Unit Root
• Unit root and cointegrating limit theory when initialization is in the infinite past
• Unit root log periodogram regression
• Unit root testing via the stationary bootstrap

Cited in

(5)

• Testing cointegration relationship in a semiparametric varying coefficient model
• DECIDING BETWEEN I(0) AND I(1) VIA FLIL-BASED BOUNDS
• A hybrid bootstrap approach to unit root tests
• Block bootstrap theory for multivariate integrated and cointegrated processes
• Bootstrapping. I

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