Bootstrap tests for unit roots in seasonal autoregressive models

DOI10.1016/S0167-7152(00)00128-0zbMath0960.62098OpenAlexW2028085272WikidataQ128012089 ScholiaQ128012089MaRDI QIDQ1593727

Zacharias Psaradakis

Publication date: 25 January 2001

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(00)00128-0

zbMATH Keywords

least-squares estimatorunit rootsbootstrap testsseasonal autoregressive model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (3)

ON THE ASYMPTOTIC PROPERTIES OF SOME SEASONAL UNIT ROOT TESTS ⋮ Bootstrapping the HEGY seasonal unit root tests ⋮ Nonparametric likelihood inference for general autoregressive models

Cites Work

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• Edgeworth correction by bootstrap in autoregressions
• Some asymptotic theory for the bootstrap
• On asymptotic properties of bootstrap for AR(1) processes
• Bootstrapping unstable first-order autoregressive processes
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Unit root bootstrap tests for AR (1) models
• Testing for Unit Roots in Seasonal Time Series

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