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How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach

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  • van Giersbergen, Noud P. A.
  • Kiviet, Jan F.

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File URL: http://www.sciencedirect.com/science/article/B6VC0-44TVCMY-4/2/148b34d196bc2c4c18fe84035bb189cd
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Econometrics.

Volume (Year): 108 (2002)
Issue (Month): 1 (May)
Pages: 133-156

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Handle: RePEc:eee:econom:v:108:y:2002:i:1:p:133-156

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Web page: http://www.elsevier.com/locate/jeconom

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References

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  1. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
  2. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  3. J. Carpenter, 1999. "Test inversion bootstrap confidence intervals," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 61(1), pages 159-172.
  4. Dijk, H.K. & Schotman, P., 1991. "On Bayesian routes to unit roots," Open Access publications from Maastricht University urn:nbn:nl:ui:27-5928, Maastricht University.
  5. Davidson, Russell & MacKinnon, James G., 1999. "The Size Distortion Of Bootstrap Tests," Econometric Theory, Cambridge University Press, vol. 15(03), pages 361-376, June.
  6. Jeremy Berkowitz & Lutz Kilian, 1996. "Recent developments in bootstrapping time series," Finance and Economics Discussion Series 96-45, Board of Governors of the Federal Reserve System (U.S.).
  7. Schotman, Peter C & van Dijk, Herman K, 1991. "On Bayesian Routes to Unit Roots," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 6(4), pages 387-401, Oct.-Dec..
  8. Nankervis, J C & Savin, N E, 1988. "The Student's t Approximation in a Stationary First Order Autoregressive Model," Econometrica, Econometric Society, vol. 56(1), pages 119-45, January.
  9. Tanaka, Katsuto, 1983. "Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean," Econometrica, Econometric Society, vol. 51(4), pages 1221-31, July.
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Cited by:
  1. repec:ebl:ecbull:v:3:y:2005:i:44:p:1-8 is not listed on IDEAS
  2. Godfrey, L.G., 2007. "Alternative approaches to implementing Lagrange multiplier tests for serial correlation in dynamic regression models," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3282-3295, April.
  3. Emmanuel Flachaire, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175910, HAL.
  4. Emmanuel Flachaire, 2005. "More efficient tests robust to heteroskedasticity of unknown form," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00175914, HAL.
  5. Emmanuel FLACHAIRE, 2005. "Propriétés en échantillon fini des tests robustes à l'hétéroscédasticité de forme inconnue," Annales d'Economie et de Statistique, ENSAE, issue 77, pages 187-199.
  6. Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-8.

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