scholarly journals Estimating MA Parameters through Factorization of the Autocovariance Matrix and an MA-Sieve Bootstrap

2018 ◽  
Vol 39 (3) ◽  
pp. 433-446
Author(s):  
Timothy L. McMurry ◽  
Dimitris N. Politis
Keyword(s):  
Sieve Bootstrap ◽  
Autocovariance Matrix

scholarly journals On the range of validity of the autoregressive sieve bootstrap

2011 ◽  
Vol 39 (4) ◽  
pp. 2103-2130 ◽  
Author(s):  
Jens-Peter Kreiss ◽  
Efstathios Paparoditis ◽  
Dimitris N. Politis
Keyword(s):  
Sieve Bootstrap

scholarly journals A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL

2009 ◽  
Vol 26 (3) ◽  
pp. 647-681 ◽  
Author(s):  
Franz C. Palm ◽  
Stephan Smeekes ◽  
Jean-Pierre Urbain
Keyword(s):  
Error Correction ◽  
Single Equation ◽  
Error Correction Model ◽  
Small Sample ◽  
Bootstrap Test ◽  
Correction Model ◽  
Sieve Bootstrap ◽  
Asymptotic Test ◽  
True Value ◽  
Deterministic Components

In this paper we propose a bootstrap version of the Wald test for cointegration in a single-equation conditional error correction model. The multivariate sieve bootstrap is used to deal with dependence in the series. We show that the introduced bootstrap test is asymptotically valid. We also analyze the small sample properties of our test by simulation and compare it with the asymptotic test and several alternative bootstrap tests. The bootstrap test offers significant improvements in terms of size properties over the asymptotic test, while having similar power properties. The sensitivity of the bootstrap test to the allowance for deterministic components is also investigated. Simulation results show that the tests with sufficient deterministic components included are insensitive to the true value of the trends in the model and retain correct size.

On the Vector Autoregressive Sieve Bootstrap

2014 ◽  
Vol 36 (3) ◽  
pp. 377-397 ◽  
Author(s):  
Marco Meyer ◽  
Jens-Peter Kreiss
Keyword(s):  
Vector Autoregressive ◽  
Sieve Bootstrap
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