Bootstrap inference in systems of single equation error correction models

DOI10.1016/j.jeconom.2004.08.011zbMath1336.62113OpenAlexW2023518279MaRDI QIDQ265021

Helmut Herwartz, Michael H. Neumann

Publication date: 1 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2004.08.011

zbMATH Keywords

wild bootstraperror correction modelspanel cointegration analysis

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)

Related Items

A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility, Testing for random effects in panel models with spatially correlated disturbances, Testing for random effects in panel data under cross sectional error correlation -- a bootstrap approach to the Breusch Pagan test, Analytical quasi maximum likelihood inference in multivariate volatility models, Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
• Bootstrap procedures under some non-i.i.d. models
• When does bootstrap work! Asymptotic results and simulations
• Cointegration in partial systems and the efficiency of single-equation analysis
• Testing periodicity in time series models -- A recommendation of bootstrap models
• Testing for an unstable root in conditional and structural error correction models
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Regression-type inference in nonparametric autoregression
• Jackknife, bootstrap and other resampling methods in regression analysis
• Efficient inference on cointegration parameters in structural error correction models
• Bootstrap and wild bootstrap for high dimensional linear models
• Exogeneity
• Multiple Time Series Regression with Integrated Processes
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Co-integration, Error Correction, and the Econometric Analysis of Non-Stationary Data
• Dynamic Econometrics
• Linear Regression Limit Theory for Nonstationary Panel Data
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Convergence of stochastic processes
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models