Bootstrapping Time Series Regressions with Integrated Processes

DOI10.1111/1467-9892.00235zbMath0973.62075OpenAlexW2095335049MaRDI QIDQ2744935

Hongyi Li, Zhijie Xiao

Publication date: 9 October 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00235

zbMATH Keywords

bootstrapregressionunit root testsintegrated processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

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Behavior in small samples of some tests of non-nested hypotheses in nonstationary regressions and their bootstrap versions

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