A bootstrap theory for weakly integrated processes

DOI10.1016/j.jeconom.2005.06.009zbMath1345.62125OpenAlexW2063009289MaRDI QIDQ275255

Joon Y. Park

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.2005.06.009

zbMATH Keywords

bootstrapconsistencyunit rootlinear processessieve bootstrapasymptotic refinementweakly integrated processes

Mathematics Subject Classification ID

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

Related Items (7)

Nonparametric testing for long-horizon predictability with persistent covariates ⋮ On bootstrap implementation of likelihood ratio test for a unit root ⋮ BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP ⋮ Identification robust inference in cointegrating regressions ⋮ SECOND ORDER EXPANSION OF THE T-STATISTIC IN AR(1) MODELS ⋮ NEARLY OPTIMAL TEST FOR LONG-RUN PREDICTABILITY WITH NEARLY INTEGRATED REGRESSORS ⋮ Robust block bootstrap panel predictability tests

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