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How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach

  • van Giersbergen, Noud P. A.
  • Kiviet, Jan F.

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/S0304-4076(01)00132-4
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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  1. Peter C. Schotman & Herman K. van Dijk, 1991. "On Bayesian routes to unit roots," Discussion Paper / Institute for Empirical Macroeconomics 43, Federal Reserve Bank of Minneapolis.
  2. Horowitz, Joel L., 1994. "Bootstrap-based critical values for the information matrix test," Journal of Econometrics, Elsevier, vol. 61(2), pages 395-411, April.
  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. Hansen,B.E., 1998. "The grid bootstrap and the autoregressive model," Working papers 26, Wisconsin Madison - Social Systems.
  5. 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.
  6. 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.).
  7. 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.
  8. Davidson, R. & Mackinnon, J.G., 1996. "The Size Distorsion of Bootstrap Tests," G.R.E.Q.A.M. 96a15, Universite Aix-Marseille III.
  9. 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.
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