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The Continuity Of The Limit Distribution In The Parameter Of Interest Is Not Essential For The Validity Of The Bootstrap

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Listed author(s):
  • Inoue, Atsushi
  • Kilian, Lutz

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Article provided by Cambridge University Press in its journal Econometric Theory.

Volume (Year): 19 (2003)
Issue (Month): 06 (December)
Pages: 944-961

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Handle: RePEc:cup:etheor:v:19:y:2003:i:06:p:944-961_19
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Cited by:

  1. DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," Cahiers de recherche 16-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  2. Dufour, Jean-Marie, 2006. "Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics," Journal of Econometrics, Elsevier, vol. 133(2), pages 443-477, August.
  3. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
  4. Kilian, Lutz & Kim, Yun Jung, 2009. "Do Local Projections Solve the Bias Problem in Impulse Response Inference?," CEPR Discussion Papers 7266, C.E.P.R. Discussion Papers.
  5. George Kapetanios, 2004. "Testing for Exogeneity in Nonlinear Threshold Models," Working Papers 515, Queen Mary University of London, School of Economics and Finance.
  6. George Kapetanios, 2004. "A Bootstrap Invariance Principle for Highly Nonstationary Long Memory Processes," Working Papers 507, Queen Mary University of London, School of Economics and Finance.

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