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An Introduction to Bootstrap Theory in Time Series Econometrics
Cavaliere, Giuseppe - 2020
This article provides an introduction to methods and challenges underlying application of the bootstrap in econometric modelling of economic and financial time series. Validity, or asymptotic validity, of the bootstrap is discussed as this is a key element in deciding whether the bootstrap is...
Persistent link: https://www.econbiz.de/10012835479
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Unit Root Test in a Threshold Autoregression : Asymptotic Theory and Residual-Based Block Bootstrap
Seo, Myunghwan - 2008
There is a growing literature on unit root testing in threshold autoregressive models. This paper makes two contributions to the literature. First, an asymptotic theory is developed for unit root testing in a threshold autoregression, in which the errors are allowed to be dependent and...
Persistent link: https://www.econbiz.de/10012771003
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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Wild Multiplicative Bootstrap for M and GMM Estimators in Time Series
Audrino, Francesco; Camponovo, Lorenzo; Roth, Constantin - 2019
We introduce a wild multiplicative bootstrap for M and GMM estimators in nonlinear models when autocorrelation structures of moment functions are unknown. The implementation of the bootstrap algorithm does not require any parametric assumptions on the data generating process. After proving its...
Persistent link: https://www.econbiz.de/10014106743
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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Trenkler, Carsten (contributor) - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen & Lütkepohl (2000b) and Saikkonen, Lütkepohl & Trenkler (2006). The asymptotic properties of the bootstrap test procedures are derived and their...
Persistent link: https://www.econbiz.de/10003324256
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Robust resampling methods for time series
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010
We study the robustness of block resampling procedures for time series. We first derive a set of formulas to … applications. This renders inference based on standard resampling methods useless already in simple estimation and testing settings …. To solve this problem, we introduce a robust fast resampling scheme that is applicable to a wide class of time series …
Persistent link: https://www.econbiz.de/10003971115
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How to implement the bootstrap in static or stable dynamic regression models
Giersbergen, Noud P. A. van; Kiviet, J. F. - 2001
By combining two alternative formulations of a test statistic with two alternative resamplingschemes we obtain four different bootstrap tests. In the context of static linear regression modelstwo of these are shown to have serious size and power problems, whereas the remaining two areadequate...
Persistent link: https://www.econbiz.de/10011325661
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Inference with large clustered datasets
MacKinnon, James G. - 2016
Inference using large datasets is not nearly as straightforward as conventional econometric theory suggests when the disturbances are clustered, even with very small intra-cluster correlations. The information contained in such a dataset grows much more slowly with the sample size than it would...
Persistent link: https://www.econbiz.de/10011528432
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Bootstrap tests of mean-variance efficiency with multiple portfolio groupings
Gungor, Sermin; Luger, Richard - 2014
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. A direct test of the joint null hypothesis may not be possible with standard methods when the total number of...
Persistent link: https://www.econbiz.de/10010429974
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A test for instrument validity
Kitagawa, Toru - 2014 - This draft: August, 2014
This paper develops a specification test for instrument validity in the heterogeneous treatment effect model with a binary treatment and a discrete instrument. The strongest testable implication for instrument validity is given by the condition for nonnegativity of point-identifiable complier's...
Persistent link: https://www.econbiz.de/10010392075