On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.

DOI10.1016/S0165-1765(02)00146-5zbMath1158.91459MaRDI QIDQ1852934

Luisa Bisaglia, Isabella Procidano

Publication date: 21 January 2003

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

zbMATH Keywords

Unit rootBootstrapAugmented Dickey--Fuller testFractional ARIMA processes

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)

Related Items (4)

Vector error correction heterogeneous autoregressive forecast model of realized volatility and implied volatility ⋮ A sequential procedure for testing the existence of a random walk model in finite samples ⋮ An integrated heteroscedastic autoregressive model for forecasting realized volatilities ⋮ A test for fractional cointegration using the sieve bootstrap

Cites Work

• Bootstrap procedures under some non-i.i.d. models
• Fractional integration and the augmented Dickey--Fuller test
• On the power of unit root tests against fractional alternatives
• Sieve bootstrap for time series
• Testing unit roots by bootstrap
• Bootstrapping unstable first-order autoregressive processes
• Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
• Testing for unit roots in autoregressive-moving average models of unknown order
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Unit root bootstrap tests for AR (1) models

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