Resampling methods in econometrics

DOI10.1016/J.JECONOM.2005.06.001MaRDI QIDQ275241zbMATH OpenOpenAlexFDO

Authors

Publication date 25 April 2016

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

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.06.001

Mathematics Subject Classification ID

Proceedings of conferences of miscellaneous specific interest (00B25) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Bootstrap, jackknife and other resampling methods (62F40) Nonparametric statistical resampling methods (62G09) Applications of statistics to economics (62P20)

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Cites work

• A Conditional Kolmogorov Test
• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A theory of the term structure of interest rates
• An equilibrium characterization of the term structure
• Bootstrap Critical Values for Tests Based on Generalized-Method-of-Moments Estimators
• Bootstrap methods: another look at the jackknife
• Bootstrapping unit root tests for integrated processes
• Bootstrapping unstable first-order autoregressive processes
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Modified Randomization Tests for Nonparametric Hypotheses
• Nonparametric option pricing under shape restrictions
• Several Tests for Model Specification in the Presence of Alternative Hypotheses
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The bootstrap and Edgeworth expansion
• The pricing of options and corporate liabilities
• The Stationary Bootstrap

Cited in

(4)

• On resampling techniques for regression models
• Resampling: consistency of substitution estimators
• scientific article; zbMATH DE number 434952 (Why is no real title available?)
• scientific article; zbMATH DE number 1873007 (Why is no real title available?)

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