Search Results - subject:"wild bootstrap"

A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013

asymptotic or wild bootstrap-based likelihood ratio type tests. Complementing recent work done for the latter in Cavaliere … values of the co-integration rank, sample size, stationary dynamics and models of heteroskedasticity. Of these the wild … bootstrap procedure is perhaps the more reliable overall since it avoids a significant tendency seen in the BIC-based method to …

Persistent link: https://www.econbiz.de/10010903767

Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; … - Tinbergen Instituut - 2013

matrix) and on the use of the wild bootstrap are discussed. These do not require the practitioner to specify a parametric …

Persistent link: https://www.econbiz.de/10011256108

A comparison of sequential and information-based methods for determining the co-integration rank in heteroskedastic VAR models

Cavaliere, Giuseppe; Angelis, Luca De; Rahbek, Anders; … - Dipartimento di Scienze Statistiche "Paolo Fortunati", … - 2013

Persistent link: https://www.econbiz.de/10011228054

Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions

Boswijk, H. Peter; Cavaliere, Giuseppe; Rahbek, Anders; … - Økonomisk Institut, Københavns Universitet - 2013

matrix) and on the use of the wild bootstrap are discussed. These do not require the practitioner to specify a parametric …

Persistent link: https://www.econbiz.de/10010722850

A bootstrapped spectral test for adequacy in weak ARMA models

Zhu, Ke; Li, Wai-Keung - Volkswirtschaftliche Fakultät, … - 2013

This paper proposes a Cramer-von Mises (CM) test statistic to check the adequacy of weak ARMA models. Without posing a martingale difference assumption on the error terms, the asymptotic null distribution of the CM test is obtained by using the Hillbert space approach. Moreover, this CM test is...

Persistent link: https://www.econbiz.de/10011111242

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility

Cavaliere, Giuseppe; Phillips, Peter C.B.; Smeekes, Stephan - Cowles Foundation for Research in Economics, Yale University - 2012

show a tendency to over-fit the lag order under heteroskedasticity, which results in significant power losses in the (wild … bootstrap implementation of the) augmented Dickey-Fuller tests under the alternative. The new lag selection criteria we propose …

Persistent link: https://www.econbiz.de/10009391712

Thirty Years of Heteroskedasticity-Robust Inference

MacKinnon, James G. - Economics Department, Queen's University - 2012

White (1980) marked the beginning of a new era for inference in econometrics. It introduced the revolutionary idea of inference that is robust to heteroskedasticity of unknown form, an idea that was very soon extended to other forms of robust inference and also led to many new estimation...

Persistent link: https://www.econbiz.de/10009024918

Robust heteroskedasticity-robust tests

Richard, Patrick - In: Economics letters 159 (2017), pp. 28-32

Persistent link: https://www.econbiz.de/10011902875

PPP test for Asian countries and regions : new evidence from a wild bootstrap AESTAR test

Wang, Shaoping; Yang, Yang - In: Applied economics letters 24 (2017) 13/15, pp. 1046-1050

Persistent link: https://www.econbiz.de/10011716569

Unit root tests in the presence of multiple breaks in variance

Jeong, Soo-Bin; Kim, Bong Hwan; Kim, Tae-hwan; Moon, … - In: The Singapore economic review : journal of the Economic … 62 (2017) 2, pp. 345-361

Persistent link: https://www.econbiz.de/10011702157