Wild bootstrap tests for autocorrelation in vector autoregressive models

Author:

Ahlgren Niklas,Catani Paul

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Statistics and Probability

Reference60 articles.

1. Ahlgren N, Antell J (2008) Bootstrap and fast double bootstrap tests of cointegration rank with financial time series. Comput Stat Data Anal 52:4754–4767

2. Ahlgren N, Catani P (2014a) Tests of cointegration rank with strong persistence in volatility: an application to the pricing of risk in the long run. In: Knif J, Pape B (eds) Contributions to mathematics, statistics, econometrics, and finance: essays in honour of Professor Seppo Pynnönen. Acta Wasaensia 296. University of Vaasa, Vaasa, pp 153–169

3. Ahlgren N, Catani P (2014b) Finite-sample multivariate tests for ARCH in vector autoregressive models. In: Gilli M, Gonzalez-Rodriguez G, Nieto-Reyes A (eds) Proceedings of COMPSTAT 2014. Université de Genéve, Genéve, pp 265–272

4. Baltagi BH, Kao C, Na S (2013) Testing for cross-sectional dependence in a panel factor model using the wild bootstrap $$F$$ F test. Stat Pap 54:1067–1094

5. Benkwitz A, Lütkepohl H, Wolters J (2001) Comparison of bootstrap confidence intervals for impulse responses of German monetary systems. Macroecon Dyn 5:81–100

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