Bootstrapping Nonstationary Time Series

Summary

The objective of this project is to consider the applicability of bootstrapping techniques to nonstationary economic time series, more specifically to the analysis of unit roots and cointegration. The emphasis will be on studying, both theoretically and empirically, alternative bootstrap methods and on proposing new valid bootstrap procedures for situations of practical relevance that have either not yet been considered in the literature, or for which currently no theoretically satisfying procedures exist. The practical usefulness of these bootstrap methods for unit root and cointegration analysis will also be investigated through the empirical study of some important problems in economics.

Output

Thesis

  • Beoogd: proefschrift
  • S.J.M. Smeekes(2009): Bootstrapping Nonstationary Time Series , Maastricht  July 2, 2009

Scientific article

  • F.C. Palm, S.J.M. Smeekes, J.P. Urbain(2008): Bootstrap Unit Root Tests: Comparison and Extensions Journal of Time Series Analysis pp. 371 - 401
  • F.C. Palm, S.J.M. Smeekes, J.P. Urbain(2008): Bootstrap Unit Root Tests: Comparison and Extensions. Journal of Tme Series Analysis pp. 371 - 401
  • F.C. Palm, S.J.M. Smeekes, J.P. Urbain(2010): A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model Econometric Theory pp. 647 - 681

Publications for the general public

  • (2007): A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model
  • (2007): Bootstrap Unit Root Tests: comparison and extensions

Details

Project number

400-05-095

Main applicant

Prof. dr. J.P. Urbain

Affiliated with

Maastricht University, School of Business and Economics, Maastricht Research School of Economics of Technology and Organizations (METEOR)

Team members

Dr. S.J.M. Smeekes

Duration

01/11/2006 to 25/03/2010