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Bootstrapping Autoregressive and Moving Average Parameter Estimates of Infinite Order Vector Autoregressive Processes
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Cited by:
- 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
2005-12, Universite de Montreal, Departement de sciences economiques.
- 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.
- Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
- 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.
- Jeremy Berkowitz & Ionel Birgean & Lutz Kilian, 1999. "On the finite-sample accuracy of nonparametric resampling algorithms for economic time series," Finance and Economics Discussion Series 1999-04, Board of Governors of the Federal Reserve System (U.S.).
- Richard T. Baillie & George Kapetanios & Fotis Papailias, 2017.
"Inference for impulse response coefficients from multivariate fractionally integrated processes,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 60-84, March.
- Richard T. Baillie & George Kapetanios & Fotis Papailias, 2015. "Inference for Impulse Response Coefficients From Multivariate Fractionally Integrated Processes," Working Paper series 15-46, Rimini Centre for Economic Analysis.
- 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.
- Kilian, L. & Bergean, I., 1999. "Data-Driven Nonparametric Spectral Density Estimators for Economic Time Series: A Monte Carlo Study," Papers 99-04, Michigan - Center for Research on Economic & Social Theory.
- Marian Vavra, 2015. "On a Bootstrap Test for Forecast Evaluations," Working and Discussion Papers WP 5/2015, Research Department, National Bank of Slovakia.
- DUFOUR, Jean-Marie & TAREK, Jouini, 2005.
"Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form,"
Cahiers de recherche
2005-09, Universite de Montreal, Departement de sciences economiques.
- DUFOUR, Jean-Marie & JOUINI, Tarek, 2005. "Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form," Cahiers de recherche 10-2005, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Tarek Jouini, 2005. "Asymptotic distribution of a simple linear estimator for VARMA models in echelon form," CIRANO Working Papers 2005s-06, CIRANO.
- Dufour, Jean-Marie & Pelletier, Denis & Renault, Eric, 2006.
"Short run and long run causality in time series: inference,"
Journal of Econometrics, Elsevier, vol. 132(2), pages 337-362, June.
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short run and long run causality in time series: Inference," Cahiers de recherche 2003-16, Universite de Montreal, Departement de sciences economiques.
- DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Jean-Marie Dufour & Denis Pelletier & Eric Renault, 2003. "Short Run and Long Run Causality in Time Series: Inference," CIRANO Working Papers 2003s-61, CIRANO.
- Robert Adamek & Stephan Smeekes & Ines Wilms, 2023. "Sparse High-Dimensional Vector Autoregressive Bootstrap," Papers 2302.01233, arXiv.org.
- Meyer, Marco & Jentsch, Carsten & Kreiss, Jens-Peter, 2015. "Baxter`s inequality and sieve bootstrap for random fields," Working Papers 15-06, University of Mannheim, Department of Economics.
- Zacharias Psaradakis & Marian Vavra, 2017.
"Normality Tests for Dependent Data,"
Working and Discussion Papers
WP 12/2017, Research Department, National Bank of Slovakia.
- Zacharias Psaradakis & Marián Vávra, 2017. "Normality Tests for Dependent Data: Large-Sample and Bootstrap Approaches," Birkbeck Working Papers in Economics and Finance 1706, Birkbeck, Department of Economics, Mathematics & Statistics.
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2016.
"Testing for Granger causality in large mixed-frequency VARs,"
Journal of Econometrics, Elsevier, vol. 193(2), pages 418-432.
- Götz, T.B. & Hecq, A.W., 2014. "Testing for Granger causality in large mixed-frequency VARs," Research Memorandum 028, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, T.B. & Hecq, A.W. & Smeekes, S., 2015. "Testing for Granger Causality in Large Mixed-Frequency VARs," Research Memorandum 036, Maastricht University, Graduate School of Business and Economics (GSBE).
- Götz, Thomas B. & Hecq, Alain & Smeekes, Stephan, 2015. "Testing for Granger causality in large mixed-frequency VARs," Discussion Papers 45/2015, Deutsche Bundesbank.
- 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.
- Dufour, Jean-Marie, 2008. "Short and long run causality measures: theory and inference," UC3M Working papers. Economics we083720, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Martin Enilov & Giorgio Fazio & Atanu Ghoshray, 2023. "Global connectivity between commodity prices and national stock markets: A time‐varying MIDAS analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2607-2619, July.
- Bouhaddioui, Chafik & Roy, Roch, 2006. "On the distribution of the residual cross-correlations of infinite order vector autoregressive series and applications," Statistics & Probability Letters, Elsevier, vol. 76(1), pages 58-68, January.
- Simona Bigerna & Maria Chiara D’Errico & Paolo Polinori & Paul Simshauser, 2023. "Net-Zero Policy vs Energy Security: The Impact on GCC Countries," The Energy Journal, , vol. 44(1_suppl), pages 1-32, November.
- Jeremy Berkowitz & Lutz Kilian, 2000.
"Recent developments in bootstrapping time series,"
Econometric Reviews, Taylor & Francis Journals, vol. 19(1), pages 1-48.
- Jeremy Berkowitz & Lutz Kilian, "undated". "Recent Developments in Bootstrapping Time Series," Finance and Economics Discussion Series 1996-45, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
- 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.).
- Margherita Gerolimetto & Stefano Magrini, 2020. "Testing for boundary conditions in case of fractionally integrated processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 29(2), pages 357-371, June.
- Psaradakis, Zacharias & Vávra, Marián, 2017.
"A distance test of normality for a wide class of stationary processes,"
Econometrics and Statistics, Elsevier, vol. 2(C), pages 50-60.
- Marian Vavra, 2015. "Testing for normality with applications," Working and Discussion Papers WP 1/2015, Research Department, National Bank of Slovakia.
- Zacharias Psaradakis & Marián Vávra, 2015. "A Distance Test of Normality for a Wide Class of Stationary Processes," Birkbeck Working Papers in Economics and Finance 1513, Birkbeck, Department of Economics, Mathematics & Statistics.
- Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2010.
"A Sieve Bootstrap Test For Cointegration In A Conditional Error Correction Model,"
Econometric Theory, Cambridge University Press, vol. 26(3), pages 647-681, June.
- Arnold Zellner & Franz C. Palm, 2000. "Correction," Econometrica, Econometric Society, vol. 68(5), pages 1293-1294, September.
- Palm, F.C. & Smeekes, S. & Urbain, J.R.Y.J., 2007. "A sieve bootstrap test for cointegration in a conditional error correction model," Research Memorandum 054, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
- Chafik Bouhaddioui & Roch Roy, 2004. "A Generalized Portmanteau Test for Independence of Two Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2004s-06, CIRANO.
- Christis Katsouris, 2023. "Limit Theory under Network Dependence and Nonstationarity," Papers 2308.01418, arXiv.org, revised Aug 2023.
- Peter Brockwell & Jens-Peter Kreiss & Tobias Niebuhr, 2014. "Bootstrapping continuous-time autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 66(1), pages 75-92, February.
- Laura Mayoral, 2009.
"Heterogeneous dynamics, aggregation and the persistence of economic shocks,"
Working Papers
400, Barcelona School of Economics.
- Laura Mayoral, 2009. "Heterogeneous dynamics, aggregation and the persistence of economic shocks," UFAE and IAE Working Papers 786.09, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
- Jentsch, Carsten & Kreiss, Jens-Peter, 2010. "The multiple hybrid bootstrap -- Resampling multivariate linear processes," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2320-2345, November.
- 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.
- Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007.
"Long Run Macroeconomic Relations in the Global Economy,"
Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy (IfW Kiel), vol. 1, pages 1-20.
- Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0661, Faculty of Economics, University of Cambridge.
- Dees, S. & Holly, S. & Pesaran, M.H. & Smith, L.V., 2007. "Long Run Macroeconomic Relations in the Global Economy," Cambridge Working Papers in Economics 0703, Faculty of Economics, University of Cambridge.
- Stephane Dees & Sean Holly & M. Hashem Pesaran & L. Vanessa Smith, 2007. "Long Run Macroeconomic Relations in the Global Economy," CESifo Working Paper Series 1904, CESifo.
- Pesaran, Mohammad Hashem & Holly, Sean & Dees, Stephane & Smith, L. Vanessa, 2007. "Long Run Macroeconomic Relations in the Global Economy," Economics Discussion Papers 2007-7, Kiel Institute for the World Economy (IfW Kiel).
- Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Holly, Sean, 2007. "Long run macroeconomic relations in the global economy," Working Paper Series 750, European Central Bank.
- Bigerna, Simona & D'Errico, Maria Chiara & Polinori, Paolo & Simshauer, Paul, 2022. "Renewable energy and portfolio volatility spillover effects of GCC oil exporting countries," MPRA Paper 114164, University Library of Munich, Germany.
- Psaradakis, Zacharias, 2001. "On bootstrap inference in cointegrating regressions," Economics Letters, Elsevier, vol. 72(1), pages 1-10, July.
- Ricardo Cao, 1999. "An overview of bootstrap methods for estimating and predicting in time series," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 8(1), pages 95-116, June.
- Chafik Bouhaddioui & Roch Roy, 2003. "On the Distribution of the Residual Cross-Correlations between Two Uncorrelated Infinite Order Vector Autoregressive Series," CIRANO Working Papers 2003s-41, CIRANO.
- You, Jinhong & Zhou, Xian & Zhu, Li-Xing, 2009. "Inference on a regression model with noised variables and serially correlated errors," Journal of Multivariate Analysis, Elsevier, vol. 100(6), pages 1182-1197, July.
- Joel L. Horowitz, 2018. "Bootstrap Methods in Econometrics," Papers 1809.04016, arXiv.org.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Marco Meyer & Jens-Peter Kreiss, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 377-397, May.
- Wolfgang Härdle & Joel Horowitz & Jens‐Peter Kreiss, 2003. "Bootstrap Methods for Time Series," International Statistical Review, International Statistical Institute, vol. 71(2), pages 435-459, August.
- Joel L. Horowitz, 2018. "Bootstrap methods in econometrics," CeMMAP working papers CWP53/18, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.