AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES

By Joon Y. Park. Econometric Theory, 2002

102 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/df4b93bfb3ff8b6958895831669759a398ac85d4

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Citations in the corpus

A Sieve Bootstrap For The Test Of A Unit Root (2003, unknown): “Proof of Lemma A3 The stated results follow directly from Park (1999). We use his notation in the proof of Lemma 3.”
Bootstrap Inference in Econometrics (2002, unknown): “For details, see Biihlmann (1997, 1998), Choi and Hall (2000), Park (2002), and Chang and Park (2002).”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “Note that our framework covers many (although not all) of the models falling within the NNH class defined in Park (2002a).”
Bootstrap Unit‐Root Tests: Comparison and Extensions (2008, unknown): “Like Psaradakis, Chang & Park (2003) assume that ut follows an invertible linear process.”
Bootstrap Methods in Econometrics (2006, unknown): “For more detailed treatments, see B¨uhlmann (1997, 2002), Choi and Hall (2000), and Park (2002) .”
The Performance of Panel Cointegration Methods: Results from a Large Scale Simulation Study (2009, methodology): “The asymptotic correction factors for all discussed tests are tabulated in Pedroni (1999) for two to seven regressors.”
Unit Root Quantile Autoregression Inference (2004, background): “Park (2002) established a bootstrap-invariance principle for sieve bootstrap that allows the autoregressive lag length q to go to infinity.”
Bootstrapping cointegrating regressions (2006, methodology): “See Chang and Park (2002b) for more details.”
Bootstrap Unit Root Tests in Panels with Cross-Sectional Dependency (2004, methodology): “Chang, Y. and J.Y. Park (1999).”
Bootstrap Unit Root Tests (2003, methodology): “If p is unknown or given as infinity, we may increase p with the sample size and apply the results for the sieve bootstrap established in Park (2002).”
Improving Size and Power in Unit Root Testing (2005, methodology): “…the stated assumptions regarding ut, the long-run variance ω2 equals 2πfu(0), where fu (·) is the spectral density of ut. 2As shown by Chang and Park (2002), the ARMA(p, q) assumption on ut can actually be replaced by the weaker assumption that ∑∞ j=0 ψjz j = 0 for every |z| ≤ 1 (and ∑∞j=0…”
UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP (2008, unknown): “UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP”