A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS

DOI10.1017/S0266466620000067zbMath1462.62528OpenAlexW2948964015MaRDI QIDQ5859567

Giuseppe Cavaliere, Anders Rahbek

Publication date: 16 April 2021

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

Full work available at URL: https://doi.org/10.1017/s0266466620000067

zbMATH Keywords

bootstrap testingtime series models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Economic time series analysis (91B84)

Related Items

Bootstrap inference for Hawkes and general point processes, Maximum likelihood estimation for \(\alpha\)-stable double autoregressive models, The validity of bootstrap testing for threshold autoregression

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