In a recent paper Cavaliere et al. (2012) develop bootstrap implementations of the (pseudo-) likelihood ratio [PLR] co …-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed …. They propose methods based on an i.i.d. bootstrap re-sampling scheme and establish the validity of their proposed bootstrap …

statistically signi?cant according to a bootstrap resampling method which takes into account that the factors are estimated …

The main contribution of this paper is to propose a new bootstrap method for statistics based on high frequency returns … contributions are as follows. First, we show that the local Gaussian bootstrap is firstorder consistent when used to estimate the … distributions of realized volatility and ealized betas. Second, we show that the local Gaussian bootstrap matches accurately the …

new tests are wild bootstrap implementations of score-based tests for the order of integration of a fractionally … in the presence of heteroskedasticity, but that the corresponding tests based on the wild bootstrap principle do. A Monte … bootstrap vis-à-vis the corresponding asymptotic tests in both heteroskedastic and homoskedastic environments. …

realized volatility may not cover the optimal two-point distribution wild bootstrap proposed by Gonçalves and Meddahi (2009 …). Then, we propose a new optimal nonlattice distribution which ensures the second-order correctness of the bootstrap. Third …

properties of a variety of bootstrap-based inference procedures associated with the kernel-based density-weighted averaged … derivative estimator proposed by Powell, Stock, and Stoker (1989). In many cases validity of bootstrap-based inference procedures …

bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models …

standard but also more computer intensive bootstrap bias-correction method, both in terms of bias and mean squared error. Both …We analyze and compare the properties of various methods for bias-correcting parameter estimates in vector … autoregressions. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a …

bootstrap. Finally, we provide an empirical illustration. …

,\sigma^{2})$ and $d>1/2$. We derive an analytical expression for the main term of the asymptotic bias of the maximum … likelihood estimator of $d$ conditional on initial values, and we discuss the role of the initial values for the bias. The …