There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as...

We propose a sieve bootstrap framework to conduct pointwise and simultaneous inference for time-varying coefficient regression models based on a nonparametric local linear estimator. The asymptotic validity of the sieve bootstrap in the presence of autocorrelation is established. We find that it...

In epidemiological surveillance it is important that any unusual increase of reported cases be detected as rapidly as possible. Reliable forecasting based on a suitable time series model for an epidemiological indicator is necessary for estimating the expected non-epidemic indicator and to...

This paper re-examines the stochastic properties of US State real per capita personal income, using new panel unit-root procedures. The new developments incorporate non-linearity, asymmetry, and cross-sectional correlation within panel data estimation. Including nonlinearity and asymmetry finds...

This paper considers the problem of testing for normality of the marginal law of univariate and multivariate stationary and weakly dependent random processes using a bootstrap-based Anderson-Darling test statistic. The finite-sample properties of the test are assessed via Monte Carlo...

This paper re-examines the stochastic properties of US State real per capita personal income, using new panel unit-root procedures. The new developments incorporate non-linearity, asymmetry, and cross-sectional correlation within panel data estimation. Including nonlinearity and asymmetry finds...

In this study, we re-examine the PPP hypothesis in the light of the new developments in the unit root testing literature. The recent theoretical findings have pointed out that the real exchange rate series exhibit asymmetric nonlinear behavior. A unit root test applied to analyze the PPP...

This paper studies the behavior of recently proposed bootstrap tests for the null hypothesis of stationarity when the data are generated under the alternative hypothesis of a unit root. Using Monte Carlo experiments and empirical examples, it is shown that the power of these tests critically...

This paper proposes three new panel unit root tests based on Zaykin et al. (2002)’s truncated product method. The first one assumes constant correlation between p-values and the latter two use sieve bootstrap that allows for general forms of cross-section dependence in the panel units. Monte...

In this paper we propose a procedure that uses a single-index model to construct interpolation intervals for a general class of linear processes. We present an extensive Monte Carlo experiment which studies the finite sample properties of this procedure. Finally, we illustrate the performance of...