A Bootstrap Stationarity Test for Predictive Regression Invalidity

DOI10.1080/07350015.2017.1385467zbMATH Open1548.62568MaRDI QIDQ6634886

A. M. Robert Taylor, David I. Harvey, Iliyan Georgiev, Stephen J. Leybourne

Publication date: 8 November 2024

Published in: Journal of Business and Economic Statistics (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• Unnamed Item
• Size and power of tests of stationarity in highly autocorrelated time series
• Instrumental variable and variable addition based inference in predictive regressions
• 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?
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Strong and conditional invariance principles for samples attracted to stable laws
• Testing for structural change in conditional models
• Testing for parameter instability in predictive regression models
• Spectral tests of the martingale hypothesis under conditional heteroscedasticity
• STATIONARITY TESTS UNDER TIME-VARYING SECOND MOMENTS
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• TESTING INSTABILITY IN A PREDICTIVE REGRESSION MODEL WITH NONSTATIONARY REGRESSORS
• Nearly Optimal Tests When a Nuisance Parameter Is Present Under the Null Hypothesis
• On Confidence Intervals for Autoregressive Roots and Predictive Regression
• Inference on co-integration parameters in heteroskedastic vector autoregressions

Related Items (2)

A Unified Inference for Predictive Quantile Regression ⋮ Testing for Structural Change of Predictive Regression Model to Threshold Predictive Regression Model

This page was built for publication: A Bootstrap Stationarity Test for Predictive Regression Invalidity