Search Results - subject:"Wild Bootstrap"

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Scars of early non-employment in a rigid labour market

Ghirelli, Corinna - 2015

Persistent link: https://www.econbiz.de/10011289910

Testing the white noise hypothesis of stock returns

Hill, Jonathan B.; Motegi, Kaiji - In: Economic modelling 76 (2019), pp. 231-242

Persistent link: https://www.econbiz.de/10012198322

Bootstrapping structural change tests

Boldea, Otilia; Cornea-Madeira, Adriana; Hall, Alastair R. - In: Journal of econometrics 213 (2019) 2, pp. 359-397

Persistent link: https://www.econbiz.de/10012304561

Testing for no-cointegration under time-varying variance

Wang, Shaoping; Zhao, Qing; Li, Yanglin - In: Economics letters 182 (2019), pp. 45-49

Persistent link: https://www.econbiz.de/10012122426

A bootstrap stationarity test for predictive regression invalidity

Georgiev, Iliyan; Harvey, David I.; Leybourne, Stephen James - In: Journal of business & economic statistics : JBES ; a … 37 (2019) 3, pp. 528-541

Persistent link: https://www.econbiz.de/10012178194

Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Cavaliere, Giuseppe; Skrobotov, Anton; Taylor, Robert - In: Econometric reviews 38 (2019) 5, pp. 509-532

Persistent link: https://www.econbiz.de/10012181330

Adaptive testing for cointegration with nonstationary volatility

Boswijk, Herman Peter; Zu, Yang - 2019

size distortions in conventional cointegration tests, which may be resolved using the wild bootstrap, as shown by Cavaliere …

Persistent link: https://www.econbiz.de/10012026102

Wild Bootstrap Inference for Wildly Different Cluster Sizes

MacKinnon, James G.; Webb, Matthew D. - 2014

. In contrast, using a cluster wild bootstrap procedure for the same dataset usually results in very accurate rejection …

Persistent link: https://www.econbiz.de/10010368290

Wild cluster bootstrap confidence intervals

MacKinnon, James G. - 2014

bootstrap Wald and LM tests. It also studies the choice of an auxiliary distribution for the wild bootstrap, a modified … covariance matrix based on transforming the residuals, which was proposed previously, and modified wild bootstrap procedures …

Persistent link: https://www.econbiz.de/10011380809

Inference in VARs with Conditional Heteroskedasticity of Unknown Form

Brüggemann, Ralf; Jentsch, Carsten; Trenkler, Carsten - 2014

We derive a framework for asymptotically valid inference in stable vector autoregressive (VAR) models with conditional heteroskedasticity of unknown form. We prove a joint central limit theorem for the VAR slope parameter and innovation covariance parameter estimators and address bootstrap...

Persistent link: https://www.econbiz.de/10011441857

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