Finite-sample simulation-based inference in VAR models with application to Granger causality testing
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Publication:291851
DOI10.1016/j.jeconom.2005.07.025zbMath1418.62316OpenAlexW2106418994MaRDI QIDQ291851
Tarek Jouini, Jean-Marie Dufour
Publication date: 10 June 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.07.025
bootstrapVARinterest ratemacroeconomicsMonte Carlo testexact testmaximized Monte Carlo testmoney and incomenon-stationary model
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
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Asymptotic distributions for quasi-efficient estimators in echelon VARMA models ⋮ Finite sample multivariate structural change tests with application to energy demand models ⋮ Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models ⋮ Construction of multi-step forecast regions of VAR processes using ordered block bootstrap ⋮ Bootstrap based multi-step ahead joint forecast densities for financial interval-valued time series ⋮ Finite-sample bootstrap inference in GARCH models with heavy-tailed innovations ⋮ Persistence-robust surplus-lag Granger causality testing ⋮ Linear bootstrap methods for vector autoregressive moving-average models ⋮ Using point optimal test of a simple null hypothesis for testing a composite null hypothesis via maximized Monte Carlo approach
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