To what extent can the bootstrap be applied to conditional mean models â€" such as regression or time series models â … financial time series displays persistent changes and possible non-stationarity. However, the theory of the bootstrap for such … validity of the bootstrap when the volatility is driven by a non-stationary stochastic process. This includes near …

To what extent can the bootstrap be applied to conditional mean models | such as regression or time series models … financial time series displays persistent changes and possible non-stationarity. However, the theory of the bootstrap for such … validity of the bootstrap when the volatility is driven by a non-stationary stochastic process. This includes near …

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 …

This paper discusses a consistent bootstrap implementation of the likelihood ratio [LR] co-integration rank test and … associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted … provided which shows that, unlike the bootstrap procedure in Swensen (2006) where a combination of unrestricted and restricted …