Bootstrapping Autoregressive Processes with Possible Unit Roots
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- Atsushi Inoue & Lutz Kilian, 2000. "Bootstrapping Autoregressive Processes with Possible Unit Roots," Econometric Society World Congress 2000 Contributed Papers 0401, Econometric Society.
References listed on IDEAS
- Faust, Jon, 1996. "Near Observational Equivalence and Theoretical size Problems with Unit Root Tests," Econometric Theory, Cambridge University Press, vol. 12(4), pages 724-731, October.
- 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.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Jeganathan, P., 1991. "On the Asymptotic Behavior of Least-Squares Estimators in AR Time Series with Roots Near the Unit Circle," Econometric Theory, Cambridge University Press, vol. 7(3), pages 269-306, September.
- Wolf, Michael & Romano, Joseph P., 1998. "Subsampling confidence intervals for the autoregressive root," DES - Working Papers. Statistics and Econometrics. WS 6268, Universidad Carlos III de Madrid. Departamento de Estadística.
- Francis X. Diebold & Lutz Kilian & Marc Nerlove, 2006. "Time Series Analysis," PIER Working Paper Archive 06-019, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Datta, Somnath, 1995. "Limit theory and bootstrap for explosive and partially explosive autoregression," Stochastic Processes and their Applications, Elsevier, vol. 57(2), pages 285-304, June.
- Zhang, Hu-Ming, 1992. "A log log law for unstable ARMA models with applications to time series analysis," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 173-204, February.
- Heimann, Günter & Kreiss, Jens-Peter, 1996. "Bootstrapping general first order autoregression," Statistics & Probability Letters, Elsevier, vol. 30(1), pages 87-98, September.
- Cochrane, John H., 1991. "A critique of the application of unit root tests," Journal of Economic Dynamics and Control, Elsevier, vol. 15(2), pages 275-284, April.
- West, Kenneth D, 1988. "Asymptotic Normality, When Regressors Have a Unit Root," Econometrica, Econometric Society, vol. 56(6), pages 1397-1417, November.
- Graham Elliott, 1998. "On the Robustness of Cointegration Methods when Regressors Almost Have Unit Roots," Econometrica, Econometric Society, vol. 66(1), pages 149-158, January.
- Blough, Stephen R, 1992. "The Relationship between Power and Level for Generic Unit Root Tests in Finite Samples," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 7(3), pages 295-308, July-Sept.
- Lai, T. L. & Wei, C. Z., 1983. "Asymptotic properties of general autoregressive models and strong consistency of least-squares estimates of their parameters," Journal of Multivariate Analysis, Elsevier, vol. 13(1), pages 1-23, March.
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