Bootstrap tests for autocorrelation
No abstract is available for this item.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ansley, Craig F. & Kohn, Robert & Shively, Thomas S., 1992. "Computing p-values for the generalized Durbin-Watson and other invariant test statistics," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 277-300.
- Mackinnon, J-G, 1997.
"The Size and Power of Bootstrap Tests,"
ASSET - Instituto De Economia Publica
153, ASSET (Association of Southern European Economic Theorists).
- Joel L. Horowitz, 1996. "Bootstrap Methods in Econometrics: Theory and Numerical Performance," Econometrics 9602009, EconWPA, revised 05 Mar 1996.
- Li, Hongyi & Maddala, G. S., 1997.
"Bootstrapping cointegrating regressions,"
Journal of Econometrics,
Elsevier, vol. 80(2), pages 297-318, October.
- Tom Doan, . "RATS program to demonstrate bootstrapping with cointegration," Statistical Software Components RTZ00021, Boston College Department of Economics.
- Theil, Henri & Shonkwiler, J. S., 1986. "Monte Carlo tests of autocorrelation," Economics Letters, Elsevier, vol. 20(2), pages 157-160.
- Lahiri, Soumendra Nath, 1991. "Second order optimality of stationary bootstrap," Statistics & Probability Letters, Elsevier, vol. 11(4), pages 335-341, April.
- Durbin, J, 1970. "Testing for Serial Correlation in Least-Squares Regression When Some of the Regressors are Lagged Dependent Variables," Econometrica, Econometric Society, vol. 38(3), pages 410-21, May.
- Rayner, Robert K, 1990. "Bootstrapping p Values and Power in the First-Order Autoregression: A Monte Carlo Investigation," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 251-63, April.
- Veall, Michael R., 1986. "Bootstrapping regression estimators under first-order serial correlation," Economics Letters, Elsevier, vol. 21(1), pages 41-44.
- Jeong, Jinook & Lee, Kyoungwoo, 1999. "Bootstrapped White's test for heteroskedasticity in regression models," Economics Letters, Elsevier, vol. 63(3), pages 261-267, June.
When requesting a correction, please mention this item's handle: RePEc:eee:csdana:v:38:y:2001:i:1:p:49-69. 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: (Shamier, Wendy)
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.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with 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 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.