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Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes
Jentsch, Carsten; Paparoditis, Efstathios; Politis, … - 2014
We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme applied to a full rank integrated process, succeeds in estimating...
Persistent link: https://www.econbiz.de/10011441854
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Unit root testing via the stationary bootstrap
Parker, Cameron; Paparoditis, Efstathios; Politis, … - In: Journal of econometrics 133 (2006) 2, pp. 601-638
Persistent link: https://www.econbiz.de/10003359595
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Resampling and subsampling for financial time series
Paparoditis, Efstathios; Politis, Dimitris N. - In: Handbook of financial time series, (pp. 983-999). 2009
Persistent link: https://www.econbiz.de/10003834282
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Block bootstrap theory for multivariate integrated and cointegrated processes
Jentsch, Carsten; Paparoditis, Efstathios; Politis, … - 2014
We develop some asymptotic theory for applications of block bootstrap resampling schemes to multivariate integrated and cointegrated time series. It is proved that a multivariate, continuous-path block bootstrap scheme applied to a full rank integrated process, succeeds in estimating...
Persistent link: https://www.econbiz.de/10011490558
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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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Bootstrapping unit root tests for autoregressive time series
Paparoditis, Efstathios; Politis, Dimitris N. - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 545-553
Persistent link: https://www.econbiz.de/10002929370
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Unit root testing via the continuous-path block bootstrap
Paparoditis, Efstathios; Politis, Dimitris N. - 2001
Persistent link: https://www.econbiz.de/10001574547
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The tapered block bootstrap for general statistics from stationary sequences
Paparoditis, Efstathios; Politis, Dimitris N. - In: The econometrics journal 5 (2002) 1, pp. 131-148
Persistent link: https://www.econbiz.de/10001683696
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Residual-based block bootstrap for unit root testing
Paparoditis, Efstathios; Politis, Dimitris N. - In: Econometrica : journal of the Econometric Society, an … 71 (2003) 3, pp. 813-855
Persistent link: https://www.econbiz.de/10001769225
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A Markovian local resampling scheme for nonparametric estimators in time series analysis
Paparoditis, Efstathios; Politis, Dimitris N. - In: Econometric theory 17 (2001) 3, pp. 540-566
Persistent link: https://www.econbiz.de/10001589016