Comment on “recent developments in bootstrapping time series”

Econometric Reviews

Volumn 19, Issue 1, 2000, Pages 49-54

  Davidson, Russell ^a   Greqam, ^b  

^a QUEEN S UNIVERSITY   (Canada)

^b NONE   (France)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85071206452     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474930008800458     Document Type: Article

References (7)

1. Beran, R., 1988. Prepivoting test statistics: a bootstrap view of asymptotic refinements. Journal of the American Statistical Association, 83: 687–697.
2. R. and J. G. 1988. The size distortion of bootstrap tests. Econometric Theory, 15 forthcoming
3. Gregory, A. W., and Veall, M. R., 1985. On formulating Wald tests for nonlinear restrictions. Econometrica, 53: 1465:–68.
4. Lafontaine, F., 1986. Obtaining any Wald statistic you want. Economics Letters, 21: 35–40.
5. Li, H., and Maddala, G. S., 1996. Bootstrapping Time Series Models. Econometric Reviews, 15: 297–318.
6. Phillips, P.C.B., and Park, J. Y., 1988. On the formulation of Wald tests of nonlinear restrictions. Econometrica, 56: 1065–83.
7. Teukolsky, W.H., S.A., and Vetterling, W. T., Numerical Recipes in FORTRAN