Bootstrapping unit root tests for integrated processes
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- Chan, K C, et al, 1992.
" An Empirical Comparison of Alternative Models of the Short-Term Interest Rate,"
Journal of Finance,
American Finance Association, vol. 47(3), pages 1209-1227, July.
- Tom Doan, "undated". "RATS programs to replicate CKLS(1992) estimation of interest rate models," Statistical Software Components RTZ00035, Boston College Department of Economics.
- Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
- Pastorello, Sergio & Renault, Eric & Touzi, Nizar, 2000.
"Statistical Inference for Random-Variance Option Pricing,"
Journal of Business & Economic Statistics,
American Statistical Association, vol. 18(3), pages 358-367, July.
- Pastorello, S. & Renault, E. & Touzi, N., 1995. "Statistical Inference for Random Variance Option Pricing," Papers 95.403, Toulouse - GREMAQ.
- S, Pastorello & E, Renault & N, Touzi, 1997. "Statistical Inference for Random Variance Option Pricing," Working Papers 97-60, Center for Research in Economics and Statistics.
- Ait-Sahalia, Yacine, 1996.
"Nonparametric Pricing of Interest Rate Derivative Securities,"
Econometric Society, vol. 64(3), pages 527-560, May.
- Yacine Ait-Sahalia, 1995. "Nonparametric Pricing of Interest Rate Derivative Securities," NBER Working Papers 5345, National Bureau of Economic Research, Inc.
- Eckhard Platen, 1999. "An Introduction to Numerical Methods for Stochastic Differential Equations," Research Paper Series 6, Quantitative Finance Research Centre, University of Technology, Sydney.
- Gallant, A. Ronald & Tauchen, George, 1996. "Which Moments to Match?," Econometric Theory, Cambridge University Press, vol. 12(04), pages 657-681, October.
- Pagan, A.R. & Hall, A.D. & Martin, V., 1995. "Modelling the Term Structure," Papers 284, Australian National University - Department of Economics.
- Elerain, Ola & Chib, Siddhartha & Shephard, Neil, 2001.
"Likelihood Inference for Discretely Observed Nonlinear Diffusions,"
Econometric Society, vol. 69(4), pages 959-993, July.
- Elerian, O. & Chib, S. & Shephard, N., 1998. "Likelihood INference for Discretely Observed Non-linear Diffusions," Economics Papers 146, Economics Group, Nuffield College, University of Oxford.
- Ola Elerian & Siddhartha Chib & Neil Shephard, 2000. "Likelihood inference for discretely observed non-linear diffusions," OFRC Working Papers Series 2000mf02, Oxford Financial Research Centre.
- Michael J. Brennan and Eduardo S. Schwartz., 1979. "A Continuous-Time Approach to the Pricing of Bonds," Research Program in Finance Working Papers 85, University of California at Berkeley.
- John C. Cox & Jonathan E. Ingersoll Jr. & Stephen A. Ross, 2005. "A Theory Of The Term Structure Of Interest Rates," World Scientific Book Chapters,in: Theory Of Valuation, chapter 5, pages 129-164 World Scientific Publishing Co. Pte. Ltd..
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Shin, Dong Wan & Hwang, Eunju, 2013. "Stationary bootstrapping for cointegrating regressions," Statistics & Probability Letters, Elsevier, vol. 83(2), pages 474-480.
- Paparoditis, Efstathios & Politis, Dimitris N., 2005. "Bootstrap hypothesis testing in regression models," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 356-365, October.
- Franz C. Palm & Stephan Smeekes & Jean-Pierre Urbain, 2008.
"Bootstrap Unit-Root Tests: Comparison and Extensions,"
Journal of Time Series Analysis,
Wiley Blackwell, vol. 29(2), pages 371-401, March.
- Palm, F.C. & Smeekes, S. & Urbain, J.R.Y.J., 2006. "Bootstrap unit root tests: comparison and extensions," Research Memorandum 015, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2017.
"Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form,"
Journal of Econometrics,
Elsevier, vol. 198(1), pages 165-188.
- Giuseppe Cavaliere & Morten Ã˜rregaard Nielsen & A. M. Robert Taylor, 2016. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," Working Papers 1324, Queen's University, Department of Economics.
- Giuseppe Cavaliere & Morten Ørregaard Nielsen & Robert Taylor, 2017. "Quasi-Maximum Likelihood Estimation and Bootstrap Inference in Fractional Time Series Models with Heteroskedasticity of Unknown Form," CREATES Research Papers 2017-02, Department of Economics and Business Economics, Aarhus University.
- C. Jentsch & J.-P. Kreiss & P. Mantalos & E. Paparoditis, 2012. "Hybrid bootstrap aided unit root testing," Computational Statistics, Springer, vol. 27(4), pages 779-797, December.
- Smeekes, Stephan & Taylor, A.M. Robert, 2012.
"Bootstrap Union Tests For Unit Roots In The Presence Of Nonstationary Volatility,"
Cambridge University Press, vol. 28(02), pages 422-456, April.
- Stephan Smeekes & A. M. Robert Taylor, 2010. "Bootstrap union tests for unit roots in the presence of nonstationary volatility," Discussion Papers 10/03, University of Nottingham, Granger Centre for Time Series Econometrics.
- Smeekes, S. & Taylor, A.M.R., 2010. "Bootstrap union tests for unit roots in the presence of nonstationary volatility," Research Memorandum 015, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Hwang, Eunju & Shin, Dong Wan, 2015. "Stationary bootstrapping for semiparametric panel unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 14-25.
- Stephan Smeekes, 2013. "Detrending Bootstrap Unit Root Tests," Econometric Reviews, Taylor & Francis Journals, vol. 32(8), pages 869-891, November.
- Hwang, Eunju & Shin, Dong Wan, 2012. "Strong consistency of the stationary bootstrap under ψ-weak dependence," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 488-495.
- Hwang, Eunju & Shin, Dong Wan, 2013. "Stationary bootstrapping realized volatility," Statistics & Probability Letters, Elsevier, vol. 83(9), pages 2045-2051.
- Hwang, Eunju & Shin, Dong Wan, 2012. "Stationary bootstrap for kernel density estimators under ψ-weak dependence," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1581-1593.
- repec:spr:metrik:v:80:y:2017:i:6:d:10.1007_s00184-017-0627-y is not listed on IDEAS
- Hassler Uwe & Werkmann Verena, 2014. "Multiple Comparisons and Joint Significance in Panel Unit Root Testing with Evidence on International Interest Rate Linkage," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 234(1), pages 23-43, February.
- Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N., 2006. "Unit root testing via the stationary bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 601-638, August.
- Psaradakis, Zacharias, 2006. "Blockwise bootstrap testing for stationarity," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 562-570, March.
More about this item
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:24:y:2003:i:1:p:99-126. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum). General contact details of provider: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782 .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.