The DOI matches its Crossref record; 7 of the 7 references it cites were found in a registry or an index.
Bootstrapping time series models
Abstract
This paper surveys recent development in bootstrap methods and the modifications needed for their applicability in time series models. The paper discusses some guidelines for empirical researchers in econometric analysis of time series. Different sampling schemes for bootstrap data generation and different forms of bootstrap test statistics are discussed. The paper also discusses the applicability of direct bootstrapping of data in dynamic models and cointegrating regression models. It is argued that bootstrapping residuals is the preferable approach. The bootstrap procedures covered include the recursive bootstrap, the moving block bootstrap and the stationary bootstrap.
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Cites
Co-integration and error correction: representation, estimation and testing
Engle, R. F., & Granger, C. W. J. (1987) · Econometrica · doi:10.2307/1913236 · Cited by 32,007
STATISTICAL ANALYSIS OF COINTEGRATION VECTORS
Johansen, S. (1988) · Journal of Economic Dynamics and Control · doi:10.1016/0165-1889(88)90041-3 · Cited by 17,027
Efron, B., & Tibshirani, R. (1986) · Statistical Science · doi:10.1214/ss/1177013815 · Cited by 6,033
A leisurely look at the bootstrap, the jackknife, and cross-validation
Efron, B., & Gong, G. (1983) · The American Statistician · doi:10.1080/00031305.1983.10483087 · Cited by 3,229
Politis, D. N., & Romano, J. P. (1994) · Journal of the American Statistical Association · doi:10.1080/01621459.1994.10476870 · Cited by 2,649
Two Guidelines for Bootstrap Hypothesis Testing
Hall, P., & Wilson, S. R. (1991) · Biometrics · doi:10.2307/2532163 · Cited by 471
A review of bootstrap confidence intervals
Diciccio, T. J., & Romano, J. P. (1988) · Journal of the Royal Statistical Society Series B: Statistical Methodology · doi:10.1111/j.2517-6161.1988.tb01732.x · Cited by 314
Cited by
Are Asian stock markets efficient? Evidence from new multiple variance ratio tests
Kim, J. H., & Shamsuddin, A. (2008) · Journal of Empirical Finance · doi:10.1016/j.jempfin.2007.07.001 · Cited by 311
A Three-step Method for Choosing the Number of Bootstrap Repetitions
Andrews, D. W. K., & Buchinsky, M. (2000) · Econometrica · doi:10.1111/1468-0262.00092 · Cited by 306
A general test for time dependence in parameters
Becker, R., Enders, W., & Hurn, S. (2004) · Journal of Applied Econometrics · doi:10.1002/jae.751 · Cited by 257
Forecasting autoregressive time series with bias-corrected parameter estimators
Kim, J. H. (2003) · International Journal of Forecasting · doi:10.1016/s0169-2070(02)00062-6 · Cited by 62
Net-zero aviation: Transition barriers and radical climate policy design implications
Gössling, S., & Humpe, A. (2024) · Science of The Total Environment · doi:10.1016/j.scitotenv.2023.169107 · Cited by 41
Metadata
- Authors
- Hongyi Li, G. S., & Maddala
- Venue
- Econometric Reviews
- Publisher
- Informa UK Limited
- Published
- 1996-01
- Volume
- 15
- Issue
- 2
- Pages
- 115-158
- ISSN
- 0747-4938 (ISSN-L)
- 1532-4168
- OpenAlex
- W2141221125
- Cited by
- 276
- References
- 7
- FWCI
- 7.52
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
