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On the backward representation of stationary linear vector time series models

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Testing for Parameter Restrictions in a Stationary VAR Model : A Bootstrap Alternative

Kim, Jae H. - 2014

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the generalized least square estimator for VAR parameters, which takes account of...

Persistent link: https://www.econbiz.de/10013058819

A bootstrap test for predictability of asset returns

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Testing for signal-to-noise ratio in linear regression : a test under large or massive sample

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Une revue de la littérature des modèles à facteurs dynamiques

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