Bootstrapping autoregressive processes with possible unit roots

By A. Inoue, Lutz Kilian. 2000

112 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/03cdfe24208bdbe2a99569b95a121cab402dafe5

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Citations in the corpus

Structural Vector Autoregressions: Theory of Identification and Algorithms for Inference (2010, unknown): “…is more serious for small-sample inference because classical bootstrap procedures or Bayesian Monte Carlo Markov Chain (MCMC) methods require expensive random samples of the structural parameters (Kilian, 1998; Geweke, 1999; Inoue and Kilian, 2002; Geweke, 2005; Pesavento and Rossi, 2006).”
The purchasing power parity persistence paradigm (2000, background): “Inoue and Kilian (2001) prove that if c50 and a 51 in higher order”
Local Projection Inference Is Simpler and More Robust Than You Think (2020, methodology): “2 show that the coverage of the Inoue and Kilian (2020) confidence interval is 0 at all even horizons when ρ = 0.”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “Most of the existing resampling methods for unit root tests are based on either i.i.d. (see, among others, Inoue and Kilian, 2002; Chang and Park, 2003; Park, 2003) or block (e.g., Paparoditis and Politis, 2003) resampling.”
The bootstrap in econometrics (2003, methodology): “Methods for obtaining consistent bootstrap estimates when the DGP has or may have a unit root are now available (Basawa et al., 1991; Datta, 1996; Ferretti and Romo, 1996; Inoue and Kilian, 2002; Paparoditis and Politis, 2003; Park, 2002).”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, unknown): “…CONDITIONAL HETEROSKEDASTICITY 1727 cointegration tests proposed in the literature (see, e.g., Swensen, 2006; and, in the univariate (p = 1) case, Inoue and Kilian, 2002; Paparoditis and Politis, 2003; Park, 2003), the wild bootstrap replicates the pattern of heteroskedasticity present in the…”
Analytical Evaluation of the Power of Tests for the Absence of Cointegration (2000, background): “Maddala, 1997, Berkowitz and Kilian, 2000, Inoue and Kilian, 2002, and Chang, Park”
Vector Autoregressive Models (2011, background): “Although these properties require caution in doing inference for integrated processes, there are many situations where standard inference still holds (see Toda and Yamamoto (1995), Dolado and Lütkepohl (1996), Inoue and Kilian (2002a)).”
Asymptotic confidence intervals for impulse responses of near‐integrated processes (2004, background): “Sims et al. (1990) and Inoue and Kilian (2002) showed that the standard asymptotics and standard bootstrap, respectively, are valid in large samples for (linear combinations of) the slope parameters γ i in the near-integrated AR(p) model (1) with p > 1.”
Delta-method inference for a class of set-identified SVARs (2018, background): “This condition will be satisfied even in the presence of unit roots and possible cointegration of unknown form (see Sims, Stock, and Watson (1990), Toda and Yamamoto (1995), Dolado and Lütkepohl (1996), Inoue and Kilian (2002), and Proposition 7.1 in Lütkepohl (2007)).”
State of the Art Unit Root Tests and the PPP Puzzle (2003, background): “2 See Kilian (1998), Hansen (1999), Kilian (1999), and Inoue and Kilian (2002) for further discussion of bootstrapping autoregressive processes with unit roots or near unit roots.”
Do Oil Price Increases Cause Higher Food Prices (2014, unknown): “9 This level specification is chosen to ensure consistency of the estimates regardless of the possible cointegration of the model variables (see Sims et al., 1990; Inoue and Kilian, 2002).”
Short and long run causality measures: Theory and inference (2008, methodology): “As mentioned by Inoue and Kilian (2002), for bounded measures, as in our case, the bootstrap approach is more reliable than the delta-method.”