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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
Persistent link: https://www.econbiz.de/10005411935
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/10010791286
Persistent link: https://www.econbiz.de/10006606918
Persistent link: https://www.econbiz.de/10006568966
type="main" xml:id="jtsa12053-abs-0001"When time-series data contain a periodic/seasonal component, the usual block bootstrap procedures are not directly applicable. We propose a modification of the block bootstrap – the generalized seasonal block bootstrap (GSBB) – and show its asymptotic...
Persistent link: https://www.econbiz.de/10011153169
Persistent link: https://www.econbiz.de/10005734022
A nonparametric, residual-based block bootstrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of the stationary process driving the random walk and successfully generates...
Persistent link: https://www.econbiz.de/10005699693
The paper investigates how the particular choice of residuals used in a bootstrap-based testing procedure affects the properties of the test. The properties of the tests are investigated both under the null and under the alternative. It is shown that for non-pivotal test statistics, the method...
Persistent link: https://www.econbiz.de/10005138324
Persistent link: https://www.econbiz.de/10005286022