Search Results - subject:"sieve bootstrap"

Sieve bootstrap for strongly dependent stationary processes

Kapetanios, George; Psaradakis, Zacharias - 2006

This paper studies the properties of the sieve bootstrap for a class of linear processes which exhibit strong … dependence. The sieve bootstrap scheme is based on residual resampling from autoregressive approximations the order of which … increases slowly with the sample size. The first-order asymptotic validity of the sieve bootstrap is established in the case of …

Persistent link: https://www.econbiz.de/10010284169

Bootstrap Methods in Econometrics

MacKinnon, James G. - Economics Department, Queen's University - 2006

There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as...

Persistent link: https://www.econbiz.de/10005688288

Properties of the Sieve Bootstrap for Fractionally Integrated and Non-Invertible Processes

Poskitt, D. S. - Department of Econometrics and Business Statistics, … - 2006

In this paper we will investigate the consequences of applying the sieve bootstrap under regularity conditions that are … sufficiently general to encompass both fractionally integrated and non-invertible processes. The sieve bootstrap is obtained by … approximating the data generating process by an autoregression whose order h increases with the sample size T. The sieve bootstrap …

Persistent link: https://www.econbiz.de/10005149091

Cross-Sectional Correlation Robust Tests for Panel Cointegration

Hanck, Christoph - Institut für Wirtschafts- und Sozialstatistik, … - 2006

sieve bootstrap procedure with joint resampling of the residuals of the different units. A simulation study shows that the …

Persistent link: https://www.econbiz.de/10009216915

A single-index model procedure for interpolation intervals in time series

Alonso, Andrés; Sipols, Ana; Quintas, Silvia - In: Computational Statistics 28 (2013) 4, pp. 1463-1484

In this paper we propose a procedure that uses a single-index model to construct interpolation intervals for a general class of linear processes. We present an extensive Monte Carlo experiment which studies the finite sample properties of this procedure. Finally, we illustrate the performance of...

Persistent link: https://www.econbiz.de/10010847946

A simple sieve bootstrap range test for poolability in dependent cointegrated panels

Di Iorio, Francesca; Fachin, Stefano - In: Economics Letters 116 (2012) 2, pp. 154-156

We develop a sieve bootstrap range test for poolability of cointegrating regressions in dependent panels and evaluate …

Persistent link: https://www.econbiz.de/10011041703

Hybrid bootstrap aided unit root testing

Jentsch, C.; Kreiss, J.-P.; Mantalos, P.; Paparoditis, E. - In: Computational Statistics 27 (2012) 4, pp. 779-797

parameter using critical values of the asymptotic Dickey-Fuller distribution. The benefit of the sieve bootstrap in this … investigated through Monte Carlo simulations and compared to the sieve bootstrap approach. Regarding the size of the tests, our … results show that the hybrid bootstrap remarkably outperforms the sieve bootstrap. Copyright Springer-Verlag 2012 …

Persistent link: https://www.econbiz.de/10010998496

Bootstrap Tests for Structural Breaks When the Regressors and Error Term are Nonstationary

Lee, Dong Jin - Department of Economics, University of Connecticut - 2011

This paper considers tests for structural breaks in linear models when the regressors and the serially dependent error process are unstable. The set of models contains various economic circumstances such as the structural breaks in the regressors and/or the error variance, and a linear trend...

Persistent link: https://www.econbiz.de/10008871224

Cross-sectional correlation robust tests for panel cointegration

Hanck, Christoph - In: Journal of Applied Statistics 36 (2009) 7, pp. 817-833

panel units. To achieve the latter, we employ a sieve bootstrap procedure with joint resampling of the units' residuals. A …

Persistent link: https://www.econbiz.de/10004966829

Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency

Chang, Yoosoon - Cowles Foundation for Research in Economics, Yale University - 2000

We apply bootstrap methodology to unit root tests for dependent panels with N cross-sectional units and T time series observations. More specifically, we let each panel be driven by a general linear process which may be different across cross-sectional units, and approximate it by a finite order...

Persistent link: https://www.econbiz.de/10005593302