On bootstrap implementation of likelihood ratio test for a unit root

DOI10.1016/j.econlet.2018.07.030zbMath1402.62210OpenAlexW2883827745WikidataQ129486506 ScholiaQ129486506MaRDI QIDQ1788008

Anton Skrobotov

Publication date: 8 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://iep.ru/files/RePEc/gai/wpaper/wpaper-2018-302.pdf

zbMATH Keywords

bootstraplikelihood ratio testunit root test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)

Related Items (1)

Likelihood ratio test for change in persistence

Cites Work

• Bootstrap Unit-Root Tests: Comparison and Extensions
• A bootstrap theory for weakly integrated processes
• Improved likelihood ratio tests for cointegration rank in the VAR model
• Bootstrapping general empirical measures
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Bootstrapping unstable first-order autoregressive processes
• Nearly Efficient Likelihood Ratio Tests of the Unit Root Hypothesis
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• BootstrapMUnit Root Tests
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• A Sieve Bootstrap For The Test Of A Unit Root
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Efficient Tests for an Autoregressive Unit Root
• Nearly Efficient Likelihood Ratio Tests for Seasonal Unit Roots
• Detrending Bootstrap Unit Root Tests
• BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
• Bootstrap Unit Root Tests

This page was built for publication: On bootstrap implementation of likelihood ratio test for a unit root