Residual‐based block bootstrap unit root testing in the presence of trend breaks

DOI10.1111/j.1368-423X.2005.00167.xzbMath1085.62101OpenAlexW2030800641MaRDI QIDQ3367407

Evangelos E. Ioannidis

Publication date: 24 January 2006

Published in: The Econometrics Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1368-423x.2005.00167.x

zbMATH Keywords

tablesblock bootstrapintegrated time seriesunit root testautoregressive processtrend breakaugmented Dickey-Fuller

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

Tapered block bootstrap for unit root testing ⋮ Bayesian tests for unit root and multiple breaks

Cites Work

• Unnamed Item
• Unnamed Item
• Further evidence on breaking trend functions in macroeconomic variables
• GLS detrending, efficient unit root tests and structural change.
• Testing for a unit root in variables with a double change in the mean
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Residual-Based Block Bootstrap for Unit Root Testing
• Time Series

This page was built for publication: Residual‐based block bootstrap unit root testing in the presence of trend breaks