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Testing for parameter restrictions in a stationary VAR model : a bootstrap alternative

Kim, Jae H. - In: Economic modelling 41 (2014), pp. 267-273

Persistent link: https://www.econbiz.de/10010438337

Half-life estimation based on the bias-corrected bootstrap : a highest density region approach

Kim, Jae H.; Silvapulle, Paramsothy; Hyndman, Rob J. - 2006

Persistent link: https://www.econbiz.de/10003361020

On the backward representation of stationary linear vector time series models

Kim, Jae H. - 1996

Persistent link: https://www.econbiz.de/10000943966

Testing for Parameter Restrictions in a Stationary VAR Model : A Bootstrap Alternative

Kim, Jae H. - 2014

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the generalized least square estimator for VAR parameters, which takes account of...

Persistent link: https://www.econbiz.de/10013058819

Stock return predictability : evaluation based on interval forecasts

Charles, Amélie; Darné, Olivier; Kim, Jae H. - In: Bulletin of economic research 74 (2022) 2, pp. 363-385

Persistent link: https://www.econbiz.de/10013188680

A bootstrap test for predictability of asset returns

Kim, Jae H.; Shamsuddin, Abul - In: Finance research letters 35 (2020), pp. 1-7

Persistent link: https://www.econbiz.de/10012438374