Comments on “bootstrapping time series models”

Econometric Reviews

Volumn 15, Issue 2, 1996, Pages 183-190

  Vinod, H D ^a  

^a FORDHAM UNIVERSITY   (United States)

Author keywords

BLUS; Cholesky; Double bootstrap; Ecursive residuals

Indexed keywords

EID: 85071344420     PISSN: 07474938     EISSN: 15324168     Source Type: Journal    
DOI: 10.1080/07474939608800349     Document Type: Article

References (8)

1. Diebold, F. X., and Rudebusch, G. D., 1991. On the Power of Dickey-Fuller Tests Against Fractional Alternatives. Economics Letters, 35: 155–160.
2. Harvey, A. C., 1981. The Econometric Analysis of Time Series, New York: J. Wiley.
3. Hassler, U., and Wolters, J., 1994. On the Power of Unit Root Tests Against Fractional Alternatives. Economics Letters, 45: 1–5.
4. Lo, A. W., and MacKinlay, A. G., 1989. The Size and Power of the Variance Ratio Test In Finite Samples. Journal of Econometrics, 40: 203–238.
5. Theil, H., 1971. Principles of Econometrics, New York: J. Wiley.
6. Vinod H. D., Regression Bootstrap Without Residuals for Studying Misspecification and Time Series Data Economics Dept., Fordham University Bronx, New York 1991 10458: manuscript
7. Vinod, H. D., 1993. “ Bootstrap Methods: Applications in Econometrics ”. In Handbook of Statistics: Econometrics, Edited by: Maddala, G. S., Rao, C. R., and Vinod, H. D., Vol. 11, 629–661. New York: North Holland, Elsevier. Chapter 23
8. Vinod, H. D., Economic Equilibria, Fractional Cointegration and Multivariate ARFIMA Models. American Statistical Association. pp. 302–307. Washington, D.C.