Bootstrapping I(1) data

DOI10.1016/j.jeconom.2010.01.010zbMath1431.62412OpenAlexW3124370985MaRDI QIDQ736677

Peter C. B. Phillips

Publication date: 4 August 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2010.01.010

zbMATH Keywords

bootstrapembeddingBrownian motionunit rootasymptotic theoryblock bootstrapcontinuous path bootstrap

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) Nonparametric statistical resampling methods (62G09)

Related Items (3)

A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ Testing cointegration relationship in a semiparametric varying coefficient model ⋮ Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes

Cites Work

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