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~institution:"Department of Economics, University of California-San Diego (UCSD)"
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integrated series
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Autocorrelation
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Social and Behavioral Sciences
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autocovariance matrix
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block bootstrap
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boostrap
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hypothesis testing
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non-stationary series
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random walk
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resampling
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stationary covariates
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stationary process
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Elliott, Graham
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Jansson, Michael
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McMurry, Timothy L
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Paparoditis, Efstathios
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Politis, D N
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Politis, Dimitris N
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Department of Economics, University of California-San Diego (UCSD)
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
28
International Monetary Fund (IMF)
17
Gesellschaft für Ökologische Kommunikation mbH
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Metropolis-Verlag für Ökonomie Gesellschaft und Politik GmbH
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Tilburg University, Center for Economic Research
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Club of Rome
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EconWPA
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School of Economics and Management, University of Aarhus
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Springer Fachmedien Wiesbaden
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Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain
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Cowles Foundation for Research in Economics, Yale University
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Department of Economics Studies, University of Dundee
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C.E.P.R. Discussion Papers
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Department of Econometrics and Business Statistics, Monash Business School
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Econometric Society
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Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
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Books on Demand GmbH <Norderstedt>
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Centre for Decision Research and Experimental Economics (CeDEx), School of Economics
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Research Institute for Economics and Business Administration, Kobe University
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Tilburg University, School of Economics and Management
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Centre d'Économie de la Sorbonne, Université Paris 1 (Panthéon-Sorbonne)
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Department of Economics, School of Business
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Faculteit der Economische Wetenschappen, Erasmus Universiteit Rotterdam
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University of California at San Diego, Economics Working Paper Series
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Banded and Tapered Estimates for Autocovariance Matrices and the Linear Process Bootstrap
McMurry, Timothy L
;
Politis, D N
-
Department of Economics, University of California-San …
-
2010
We address the problem of estimating the autocovariance matrix of a
stationary
process. Under short range dependence … scheme for
stationary
processes termed the linear process bootstrap (LPB). The LPB is shown to be asymptotically valid for …
Persistent link: https://www.econbiz.de/10010676427
Saved in:
2
Unit Root Testing via the Continuous-Path Block Bootstrap
Paparoditis, Efstathios
;
Politis, Dimitris N
-
Department of Economics, University of California-San …
-
2001
of the
stationary
process driving the random walk. As a consequence, the CBB can accurately capture the distribution of …
Persistent link: https://www.econbiz.de/10010536416
Saved in:
3
Testing for Unit Roots with
Stationary
Covariances
Elliott, Graham
;
Jansson, Michael
-
Department of Economics, University of California-San …
-
2000
of
stationary
covariates are modeled with the potentially integrated series. We show that very large power gains are …
Persistent link: https://www.econbiz.de/10010536482
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