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Bootstrapping Autoregressive Processes with Possible Unit Roots · Study

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ArticleBootstrapping Autoregressive Processes with Possible Unit Roots

Atsushi Inoue2002

Article2002

Bootstrapping Autoregressive Processes with Possible Unit Roots

Atsushi Inoue · Lutz Kilian

106 citations·0/0 files stored·Econometrica

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Monetary Policy and Economic Impact Forecasting Techniques and Applications Diverse Scientific and Economic Studies

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References

1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 1990Inference in Linear Time Series Models with some Unit Roots 1998Small-sample Confidence Intervals for Impulse Response Functions 1988Asymptotic Normality, When Regressors Have a Unit Root 1991A critique of the application of unit root tests 1998On the Robustness of Cointegration Methods When Regressors Almost Have Unit Roots 1992The relationship between power and level for generic unit root tests in finite samples 1999Finite-Sample Properties of Percentile and Percentile- t Bootstrap Confidence Intervals for Impulse Responses

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2014Do oil price increases cause higher food prices?2018Explaining the interplay of three markets: Green certificates, carbon emissions and electricity 2001Measuring predictability: theory and macroeconomic applications 2010Testing for co-integration in vector autoregressions with non-stationary volatility 2015Temporal causality between house prices and output in the US: A bootstrap rolling-window approach

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Year2002

Typearticle

Published2002-01-01

VenueEconometrica

ISSN-L0012-9682

Languageen

Citations106

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1111/1468-0262.00281

openalex_workW2082703071

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