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Citations for "Recent developments in bootstrapping time series"

by Jeremy Berkowitz & Lutz Kilian

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  1. Borbély, Dóra & Meier, Carsten-Patrick, 2003. "Macroeconomic interval forecasting: the case of assessing the risk of deflation in Germany," Kiel Working Papers 1153, Kiel Institute for the World Economy (IfW).
  2. Berkowitz, J. & Birgean, I. & Kilian, L., 1999. "On the Finite-Sample Accuracy of Nonparametric Resampling Algorithms for Economic Time Series," Papers 99-01, Michigan - Center for Research on Economic & Social Theory.
  3. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, vol. 123(1), pages 89-120, November.
  4. Eduardo Lima & Benjamin Tabak, 2009. "Tests of Random Walk: A Comparison of Bootstrap Approaches," Computational Economics, Springer;Society for Computational Economics, vol. 34(4), pages 365-382, November.
  5. Thomas George & Chuan-Yang Hwang & Tavy Ronen, 2010. "Bootstrap refinements in tests of microstructure frictions," Review of Quantitative Finance and Accounting, Springer, vol. 35(1), pages 47-70, July.
  6. 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.
  7. Emily Anderson & Atsushi Inoue & Barbara Rossi, 2011. "Heterogeneous consumers and fiscal policy shocks," Economics Working Papers 1478, Department of Economics and Business, Universitat Pompeu Fabra, revised Dec 2015.
  8. Francis X. Diebold & Todd A. Gunther & Anthony S. Tay, "undated". "Evaluating Density Forecasts," CARESS Working Papres 97-18, University of Pennsylvania Center for Analytic Research and Economics in the Social Sciences.
  9. Wu, Jyh-Lin & Tsai, Li-Ju & Chen, Show-Lin, 2004. "Are real exchange rates non-stationary? The Pacific Basin perspective," Journal of Asian Economics, Elsevier, vol. 15(2), pages 425-438, April.
  10. Christopher J. Neely & Lucio Sarno, 2002. "How well do monetary fundamentals forecast exchange rates?," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 51-74.
  11. Allen, Jason & Gregory, Allan W. & Shimotsu, Katsumi, 2011. "Empirical likelihood block bootstrapping," Journal of Econometrics, Elsevier, vol. 161(2), pages 110-121, April.
  12. Bottazzi, G. & Sapio, S. & Secchi, A., 2005. "Some statistical investigations on the nature and dynamics of electricity prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 54-61.
  13. Kim, Jae H., 2003. "Forecasting autoregressive time series with bias-corrected parameter estimators," International Journal of Forecasting, Elsevier, vol. 19(3), pages 493-502.
  14. Jeffery D. Amato & Thomas Laubach, 1999. "Monetary policy in an estimated optimization-based model with sticky prices and wages," Research Working Paper 99-09, Federal Reserve Bank of Kansas City.
  15. Trezzi, Riccardo, 2013. "A wavelet analysis of international risk-sharing," Economics Letters, Elsevier, vol. 118(2), pages 330-333.
  16. Ji, Philip Inyeob & Kim, Jae H., 2009. "Real interest rate linkages in the Pacific-Basin region," International Review of Economics & Finance, Elsevier, vol. 18(3), pages 440-448, June.
  17. Polito, Vito & Wickens, Mike, 2012. "A model-based indicator of the fiscal stance," European Economic Review, Elsevier, vol. 56(3), pages 526-551.
  18. Della Corte, Pasquale & Sarno, Lucio & Valente, Giorgio, 2010. "A century of equity premium predictability and the consumption-wealth ratio: An international perspective," Journal of Empirical Finance, Elsevier, vol. 17(3), pages 313-331, June.
  19. Bruggeman, Annick & Donati, Paola & Warne, Anders, 2003. "Is the demand for euro area M3 stable?," Working Paper Series 255, European Central Bank.
  20. N. Groenewold, 2000. "The Sensitivity of Tests of Asset Pricing Models to the IID-normal Assumptions: Contemporaneous evidence from the US and UK stock markets," Economics Discussion / Working Papers 00-06, The University of Western Australia, Department of Economics.
  21. Prodan, Ruxandra, 2008. "Potential Pitfalls in Determining Multiple Structural Changes With an Application to Purchasing Power Parity," Journal of Business & Economic Statistics, American Statistical Association, vol. 26, pages 50-65, January.
  22. Uhlig, Harald, 2005. "What are the effects of monetary policy on output? Results from an agnostic identification procedure," Journal of Monetary Economics, Elsevier, vol. 52(2), pages 381-419, March.
  23. K. D. Patterson, 2007. "Bias Reduction through First-order Mean Correction, Bootstrapping and Recursive Mean Adjustment," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(1), pages 23-45.
  24. Monica Giulietti & Jesus Otero & Michael Waterson, 2010. "Pricing behaviour under competition in the UK electricity supply industry," Oxford Economic Papers, Oxford University Press, vol. 62(3), pages 478-503, July.
  25. Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
  26. David Brownstone & Robert Valletta, 2001. "The Bootstrap and Multiple Imputations: Harnessing Increased Computing Power for Improved Statistical Tests," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 129-141, Fall.
  27. Rasmus Kattai & John Lewis, 2005. "Hooverism, Hyperstabilisation or Halfway-House? Describing Fiscal Policy in Central and Eastern European EU Members," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 38-47, July.
  28. Groenewold, Nicolaas & Fraser, Patricia, 2001. "Tests of asset-pricing models: how important is the iid-normal assumption?," Journal of Empirical Finance, Elsevier, vol. 8(4), pages 427-449, September.
  29. Maria Heracleous & Andreas Koutris & Aris Spanos, 2006. "Testing for Structural Breaks and other forms of Non-stationarity: a Misspecification Perspective," Computing in Economics and Finance 2006 493, Society for Computational Economics.
  30. Ince, Onur, 2014. "Forecasting exchange rates out-of-sample with panel methods and real-time data," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 1-18.
  31. Clements, Michael P. & Kim, Jae H., 2007. "Bootstrap prediction intervals for autoregressive time series," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3580-3594, April.
  32. 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.
  33. de Peretti, Christian & Siani, Carole, 2010. "Graphical methods for investigating the finite-sample properties of confidence regions," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 262-271, February.
  34. Todd E. Clark & Michael W. McCracken, 2001. "Evaluating long-horizon forecasts," Research Working Paper RWP 01-14, Federal Reserve Bank of Kansas City.
  35. Matsuki, Takashi & Usami, Ryoichi, 2007. "China's Regional Convergence in Panels with Multiple Structural Breaks," MPRA Paper 10167, University Library of Munich, Germany, revised 17 May 2008.
  36. Lee, Hsiu-Yun & Wu, Jyh-Lin, 2001. "Mean Reversion of Inflation Rates: Evidence from 13 OECD Countries," Journal of Macroeconomics, Elsevier, vol. 23(3), pages 477-487, July.
  37. Helmut Lütkepohl, 2013. "Vector autoregressive models," Chapters,in: Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 6, pages 139-164 Edward Elgar Publishing.
  38. Brock, William A. & Haslag, Joseph H., 2016. "A tale of two correlations: Evidence and theory regarding the phase shift between the price level and output," Journal of Economic Dynamics and Control, Elsevier, vol. 67(C), pages 40-57.
  39. Shamsuddin, Abul F. M. & Kim, Jae H., 2003. "Integration and interdependence of stock and foreign exchange markets: an Australian perspective," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 13(3), pages 237-254, July.
  40. Wu, Jyh-Lin, 2000. "Mean reversion of the current account: evidence from the panel data unit-root test," Economics Letters, Elsevier, vol. 66(2), pages 215-222, February.
  41. Stephen Lawrence, 2000. "Value At Risk Incorporating Dynamic Portfolio Management," Computing in Economics and Finance 2000 147, Society for Computational Economics.
  42. Groenewold, Nicolaas & Fraser, Patricia, 2002. "Violation of the iid-normal assumption: Effects on tests of asset-pricing models using Australian data," International Review of Financial Analysis, Elsevier, vol. 11(4), pages 491-510.
  43. Virmantas Kvedaras, 2005. "Explanation of Economic Growth Differences in the CEE Countries: Importance of the BOP Constraint," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 48-65, July.
  44. Hsiu-Yun Lee & Jyh-Lin Wu, 2004. "Convergence of interest rates around the Pacific Rim," Applied Economics, Taylor & Francis Journals, vol. 36(12), pages 1281-1288.
  45. Pesavento, Elena, 2004. "Analytical evaluation of the power of tests for the absence of cointegration," Journal of Econometrics, Elsevier, vol. 122(2), pages 349-384, October.
  46. Cerrato, Mario & Sarantis, Nicholas, 2007. "A bootstrap panel unit root test under cross-sectional dependence, with an application to PPP," Computational Statistics & Data Analysis, Elsevier, vol. 51(8), pages 4028-4037, May.
  47. Kenneth S. Rogoff & Vania Stavrakeva, 2008. "The Continuing Puzzle of Short Horizon Exchange Rate Forecasting," NBER Working Papers 14071, National Bureau of Economic Research, Inc.
  48. Knut Are Aastveit & Claudia Foroni & Francesco Ravazzolo, 2014. "Density forecasts with MIDAS models," Working Papers No 3/2014, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  49. Gadzinski, Gregory & Orlandi, Fabrice, 2004. "Inflation persistence in the European Union, the euro area, and the United States," Working Paper Series 414, European Central Bank.
  50. Wang, Jianxin & Yang, Minxian, 2011. "Housewives of Tokyo versus the gnomes of Zurich: Measuring price discovery in sequential markets," Journal of Financial Markets, Elsevier, vol. 14(1), pages 82-108, February.
  51. Granger, Clive W. J. & Jeon, Yongil, 2004. "Thick modeling," Economic Modelling, Elsevier, vol. 21(2), pages 323-343, March.
  52. Rushdi, Mustabshira & Kim, Jae H. & Silvapulle, Param, 2012. "ARDL bounds tests and robust inference for the long run relationship between real stock returns and inflation in Australia," Economic Modelling, Elsevier, vol. 29(3), pages 535-543.
  53. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
  54. Apergis, Nicholas & Lau, Marco Chi Keung, 2015. "Structural breaks and electricity prices: Further evidence on the role of climate policy uncertainties in the Australian electricity market," Energy Economics, Elsevier, vol. 52(PA), pages 176-182.
  55. Kim, Jae H. & Silvapulle, Param & Hyndman, Rob J., 2007. "Half-life estimation based on the bias-corrected bootstrap: A highest density region approach," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3418-3432, April.
  56. Liew, Venus Khim-Sen, 2008. "An overview on various ways of bootstrap methods," MPRA Paper 7163, University Library of Munich, Germany.
  57. Ionel Birgean & Lutz Kilian, 2002. "Data-Driven Nonparametric Spectral Density Estimators For Economic Time Series: A Monte Carlo Study," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 449-476.
  58. Phillips, Kerk L. & Spencer, David E., 2011. "Bootstrapping structural VARs: Avoiding a potential bias in confidence intervals for impulse response functions," Journal of Macroeconomics, Elsevier, vol. 33(4), pages 582-594.
  59. Daniel L. Thornton & Giorgio Valente, 2009. "Revisiting the predictability of bond risk premia," Working Papers 2009-009, Federal Reserve Bank of St. Louis.
  60. Inoue, Atsushi & Kilian, Lutz, 2016. "Joint confidence sets for structural impulse responses," Journal of Econometrics, Elsevier, vol. 192(2), pages 421-432.
  61. Elena Pesavento, 2007. "Residuals-based tests for the null of no-cointegration: an Analytical comparison," Journal of Time Series Analysis, Wiley Blackwell, vol. 28(1), pages 111-137, 01.
  62. Fair Ray C, 2003. "Bootstrapping Macroeconometric Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-26, December.
  63. Krishnamurthy, Arvind & Vissing-Jorgensen, Annette, 2015. "The impact of Treasury supply on financial sector lending and stability," Journal of Financial Economics, Elsevier, vol. 118(3), pages 571-600.
  64. 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.
  65. Greenaway-McGrevy, Ryan & Hood, Kyle K., 2016. "Worker migration or job creation? Persistent shocks and regional recoveries," Journal of Urban Economics, Elsevier, vol. 96(C), pages 1-16.
  66. Jarrow, Robert & Teo, Melvyn & Tse, Yiu Kuen & Warachka, Mitch, 2012. "An improved test for statistical arbitrage," Journal of Financial Markets, Elsevier, vol. 15(1), pages 47-80.
  67. Ahmed, Kamran & Kim, Jae H. & Henry, Darren, 2006. "International cross-listings by Australian firms: A stochastic dominance analysis of equity returns," Journal of Multinational Financial Management, Elsevier, vol. 16(5), pages 494-508, December.
  68. Jaime Casassus & Freddy Higuera, 2011. "Stock Return Predictability and Oil Prices," Documentos de Trabajo 406, Instituto de Economia. Pontificia Universidad Católica de Chile..
  69. Ikeda, Taro, 2010. "Time-varying asymmetries in central bank preferences: The case of the ECB," Journal of Macroeconomics, Elsevier, vol. 32(4), pages 1054-1066, December.
  70. Fleissig, Adrian R. & Strauss, Jack, 1999. "Is OECD real per capita GDP trend or difference stationary? Evidence from panel unit root tests," Journal of Macroeconomics, Elsevier, vol. 21(4), pages 673-689.
  71. Fresoli, Diego & Ruiz, Esther & Pascual, Lorenzo, 2015. "Bootstrap multi-step forecasts of non-Gaussian VAR models," International Journal of Forecasting, Elsevier, vol. 31(3), pages 834-848.
  72. Marczak, Martyna & Gómez, Víctor, 2015. "Cyclicality of real wages in the USA and Germany: New insights from wavelet analysis," Economic Modelling, Elsevier, vol. 47(C), pages 40-52.
  73. Krishnamurthy, Arvind & Vissing-Jorgensen, Annette, 2015. "The Impact of Treasury Supply on Financial Sector Lending and Stability," CEPR Discussion Papers 10717, C.E.P.R. Discussion Papers.
  74. Jae H. Kim & Philip I. Ji, 2004. "International linkage of real interest rates: the case of East Asian countries," Econometric Society 2004 Australasian Meetings 124, Econometric Society.
  75. van Giersbergen, Noud P. A. & Kiviet, Jan F., 2002. "How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach," Journal of Econometrics, Elsevier, vol. 108(1), pages 133-156, May.
  76. Coakley, Jerry & Fuertes, Ana-Maria, 2006. "Valuation ratios and price deviations from fundamentals," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2325-2346, August.
  77. Wu, Jyh-Lin & Lee, Hsiu-Yun, 2009. "A revisit to the non-linear mean reversion of real exchange rates: Evidence from a series-specific non-linear panel unit-root test," Journal of Macroeconomics, Elsevier, vol. 31(4), pages 591-601, December.
  78. Wang, Huiqiang, 2016. "Estimating the health impacts of food safety interventions: Optimal counterfactual selections via information criteria in small samples," Food Policy, Elsevier, vol. 63(C), pages 44-52.
  79. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, vol. 154(1), pages 42-58, January.
  80. Ji, Philip Inyeob & In, Francis, 2010. "The impact of the global financial crisis on the cross-currency linkage of LIBOR-OIS spreads," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 20(5), pages 575-589, December.
  81. Wesseh, Presley K. & Zoumara, Babette, 2012. "Causal independence between energy consumption and economic growth in Liberia: Evidence from a non-parametric bootstrapped causality test," Energy Policy, Elsevier, vol. 50(C), pages 518-527.
  82. Kilian, Lutz & Chang, Pao-Li, 2000. "How accurate are confidence intervals for impulse responses in large VAR models?," Economics Letters, Elsevier, vol. 69(3), pages 299-307, December.
  83. Kim, Jae H. & Shamsuddin, Abul, 2008. "Are Asian stock markets efficient? Evidence from new multiple variance ratio tests," Journal of Empirical Finance, Elsevier, vol. 15(3), pages 518-532, June.
  84. Jiménez-Rodríguez, Rebeca, 2008. "The impact of oil price shocks: Evidence from the industries of six OECD countries," Energy Economics, Elsevier, vol. 30(6), pages 3095-3108, November.
  85. Vinod, Hrishikesh D., 2006. "Maximum entropy ensembles for time series inference in economics," Journal of Asian Economics, Elsevier, vol. 17(6), pages 955-978, December.
  86. Ruiz, Esther & Nieto, María Rosa, 2010. "Bootstrap prediction intervals for VaR and ES in the context of GARCH models," DES - Working Papers. Statistics and Econometrics. WS ws102814, Universidad Carlos III de Madrid. Departamento de Estadística.
  87. A. Talha Yalta, 2016. "Bootstrap Inference of Level Relationships in the Presence of Serially Correlated Errors: A Large Scale Simulation Study and an Application in Energy Demand," Computational Economics, Springer;Society for Computational Economics, vol. 48(2), pages 339-366, August.
  88. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2016. "Stock and currency market linkages: New evidence from realized spillovers in higher moments," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 167-185.
  89. Valeria D’Amato & Steven Haberman & Gabriella Piscopo & Maria Russolillo, 2014. "Computational framework for longevity risk management," Computational Management Science, Springer, vol. 11(1), pages 111-137, January.
  90. Claus-Friedrich Laaser & Klaus Schrader, 2005. "Baltic Trade with Europe: Back to the Roots?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 15-37, July.
  91. Monika Blaszkiewicz-Schwartzman, 2007. "Explaining Exchange Rate Movements in New Member States of the European Union: Nominal and Real Convergence," Money Macro and Finance (MMF) Research Group Conference 2006 144, Money Macro and Finance Research Group.
  92. Meier, Carsten-Patrick, 2004. "Investigating the impact of an appreciation of the euro in a small macroeconometric model of Germany and the euro area," Kiel Working Papers 1204, Kiel Institute for the World Economy (IfW).
  93. Morten Hansen, 2005. "The Irosh Growth Miracle: Can Latvia Replicate?," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 5(2), pages 3-14, July.
  94. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon, 2015. "Realized spill-over effects between stock and foreign exchange market: Evidence from regional analysis," Global Finance Journal, Elsevier, vol. 28(C), pages 24-37.
  95. Tschirley, David & Myers, Robert & Zavale, Helder, 2014. "MSU/FSG Study of the Impact of WFP Local and Regional Food Aid Procurement on Markets, Households, and Food Value Chains," Food Security International Development Working Papers 184835, Michigan State University, Department of Agricultural, Food, and Resource Economics.
  96. Jae Kim, 2005. "Investigating the advertising-sales relationship in the Lydia Pinkham data: a bootstrap approach," Applied Economics, Taylor & Francis Journals, vol. 37(3), pages 347-354.
  97. Jae Kim, 2005. "Bias-Corrected Bootstrap Inference for Regression Models with Autocorrelated Errors," Economics Bulletin, AccessEcon, vol. 3(44), pages 1-8.
  98. Fabio Busetti & Silvestro di Sanzo, 2011. "Bootstrap LR tests of stationarity, common trends and cointegration," Temi di discussione (Economic working papers) 799, Bank of Italy, Economic Research and International Relations Area.
  99. Choi, Chi-Young, 2004. "Searching for evidence of long-run PPP from a post-Bretton Woods panel: separating the wheat from the chaff," Journal of International Money and Finance, Elsevier, vol. 23(7-8), pages 1159-1186.
  100. Lock, Eduardo & Winkelried, Diego, 2015. "Flujos de órdenes en el mercado cambiario y el valor intrínseco del Nuevo Sol," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 29, pages 33-54.
  101. Amato, Jeffery D. & Laubach, Thomas, 2003. "Estimation and control of an optimization-based model with sticky prices and wages," Journal of Economic Dynamics and Control, Elsevier, vol. 27(7), pages 1181-1215, May.
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