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Tapered block bootstrap for unit root testing
Parker, Cameron; Paparoditis, Efstathios; Politis, … - In: Journal of time series econometrics 7 (2015) 1, pp. 37-67
Persistent link: https://www.econbiz.de/10010510047
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Tempered particle filtering
Herbst, Edward P.; Schorfheide, Frank - 2016
The accuracy of particle filters for nonlinear state-space models crucially depends on the proposal distribution that mutates time t-1 particle values into time t values. In the widely-used bootstrap particle filter this distribution is generated by the state-transition equation. While...
Persistent link: https://www.econbiz.de/10011578495
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Bootstrap point optimal unit root tests
Wang, Liqiong - In: Journal of time series econometrics 6 (2014) 1, pp. 1-31
Persistent link: https://www.econbiz.de/10010225261
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Bootstrap inference and diagnostics in state space models : with applications to dynamic macro models
Angelini, Giovanni; Cavaliere, Giuseppe; Fanelli, Luca - In: Journal of applied econometrics 37 (2022) 1, pp. 3-22
Persistent link: https://www.econbiz.de/10013165161
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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
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A bootstrap stationarity test for predictive regression invalidity
Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541
Persistent link: https://www.econbiz.de/10012178194
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Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility
Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, Robert - In: Econometric reviews 38 (2019) 5, pp. 509-532
Persistent link: https://www.econbiz.de/10012181330
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New unit root tests in the nonlinear ESTAR framework : the movement and volatility characteristics of crude oil and copper prices
Li, Yanglin - In: Computational economics 63 (2024) 5, pp. 1757-1776
Persistent link: https://www.econbiz.de/10014549246
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Bootstrap model averaging unit root inference
Hansen, Bruce E.; Racine, Jeffrey - In: Essays in honor of Subal Kumbhakar, (pp. 81-98). 2024
Persistent link: https://www.econbiz.de/10014559143
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Using covariates to improve the efficacy of univariate bubble detection methods
Astill, Sam; Taylor, Robert; Kellard, Neil; Korkos, Ioannis - In: Journal of empirical finance 70 (2023), pp. 342-366
Persistent link: https://www.econbiz.de/10014423733