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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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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. Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
  2. 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.
  3. Tanaka, Katsuto, 1983. "Asymptotic Expansions Associated with the AR(1) Model with Unknown Mean," Econometrica, Econometric Society, vol. 51(4), pages 1221-31, July.
  4. 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.).
  5. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
  6. Hansen,B.E., 1998. "The grid bootstrap and the autoregressive model," Working papers 26, Wisconsin Madison - Social Systems.
  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. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  9. 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.
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Citations

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Cited by:
  1. 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.
  2. repec:hal:cesptp:halshs-00175914 is not listed on IDEAS
  3. Torben Klarl, 2013. "Is Spatial Bootstrapping a Panacea for Valid Inference?," Discussion Paper Series 322, Universitaet Augsburg, Institute for Economics.
  4. repec:hal:journl:halshs-00175910 is not listed on IDEAS
  5. Emmanuel Flachaire, 2005. "More Efficient Tests Robust to Heteroskedasticity of Unknown Form," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 219-241.
  6. Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-8.
  7. repec:hal:cesptp:halshs-00175905 is not listed on IDEAS
  8. repec:hal:cesptp:halshs-00175910 is not listed on IDEAS
  9. repec:hal:journl:halshs-00175914 is not listed on IDEAS
  10. repec:ebl:ecbull:v:3:y:2005:i:44:p:1-8 is not listed on IDEAS
  11. 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.
  12. Zhenlin Yang, 2013. "LM Tests of Spatial Dependence Based on Bootstrap Critical Values," Working Papers 03-2013, Singapore Management University, School of Economics.
  13. Flachaire, Emmanuel, 2005. "Bootstrapping heteroskedastic regression models: wild bootstrap vs. pairs bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 49(2), pages 361-376, April.

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