Bootstrap LR tests of stationarity, common trends and cointegration

DOI10.1080/00949655.2011.581242zbMath1431.62356OpenAlexW2163816607MaRDI QIDQ5300820

Silvestro Di Sanzo, Fabio Busetti

Publication date: 28 June 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2011.581242

zbMATH Keywords

bootstraptime seriesresamplingMonte Carlo simulationcointegrationmaximum likelihoodstatistical inferenceeconometricsspace-time modelseconometric modelscomputer-intensive methods

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Parametric hypothesis testing (62F03)

Related Items

Moving block bootstrapping for a CUSUM test for correlation change

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• The power of bootstrap and asymptotic tests
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Bootstrapping the HEGY seasonal unit root tests
• On the power of stationarity tests using optimal bandwidth estimates
• Tests for Parameter Instability and Structural Change With Unknown Change Point
• Multivariate Stochastic Variance Models
• Unit root bootstrap tests for AR (1) models
• Recent developments in bootstrapping time series
• TESTS OF COMMON STOCHASTIC TRENDS
• Inconsistency of the Bootstrap when a Parameter is on the Boundary of the Parameter Space
• Bootstrapping time series models