Bootstrap tests for unit roots based on LAD estimation

DOI10.1016/S0378-3758(99)00101-9zbMath0942.62107MaRDI QIDQ1970858

Marta Moreno, Juan J. Romo

Publication date: 7 June 2000

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

zbMATH Keywords

bootstrapautoregressive modelsleast absolute deviationunit roots

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Related Items (5)

A Gini-based unit root test ⋮ Unit root bootstrap tests under infinite variance ⋮ Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions ⋮ A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ Robust unit root tests with autoregressive errors

Uses Software

• bootstrap

Cites Work

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• A weak convergence result useful in robust autoregression
• The bootstrap - a review
• Bootstrapping unstable first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Asymptotic Theory of Least Absolute Error Regression
• Unit root bootstrap tests for AR (1) models
• Bootstrapping time series models
• Convergence of stochastic processes

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