Testing for Nonstationarity Using Maximum Entropy Resampling: A Misspecification Testing Perspective

DOI10.1080/07474930801959776zbMath1482.62092OpenAlexW2093307970MaRDI QIDQ3518454

Andreas Koutris, Maria S. Heracleous, Aris Spanos

Publication date: 8 August 2008

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930801959776

zbMATH Keywords

nonstationarityBerstein polynomials\(t\)-heterogeneitymaximum entropy bootstrapparameter \(t\)-invariancerolling window estimates

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Related Items (3)

Information Theoretic and Entropy Methods: An Overview ⋮ New bootstrap inference for spurious regression problems ⋮ An omnibus test to detect time-heterogeneity in time series

Cites Work

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• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis

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