BootstrapMUnit Root Tests

DOI10.1080/07474930802467167zbMath1168.62080OpenAlexW2082390127MaRDI QIDQ3394104

Giuseppe Cavaliere, A. M. Robert Taylor

Publication date: 28 August 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802467167

zbMATH Keywords

tablesconditional heteroskedasticityunit root testswild bootstrapre-colouring

Mathematics Subject Classification ID

Related Items (17)

Testing for Unit Roots Under Multiple Possible Trend Breaks and Non-Stationary Volatility Using Bootstrap Minimum Dickey-Fuller Statistics ⋮ Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility ⋮ Detrending Bootstrap Unit Root Tests ⋮ Wild bootstrap tests for unit root in ESTAR models ⋮ Bootstrap point optimal unit root tests ⋮ TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain ⋮ Linear process bootstrap unit root test ⋮ BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ Bootstrap procedures for variance breaks test in time series with a changing trend ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ On bootstrap implementation of likelihood ratio test for a unit root ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Wild bootstrap seasonal unit root tests for time series with periodic nonstationary volatility

Cites Work

• The wild bootstrap, tamed at last
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping general empirical measures
• Bootstrap procedures under some non-i.i.d. models
• The power of the ADF test
• Consistent autoregressive spectral estimates
• Testing for structural change in conditional models
• Bootstrapping unstable first-order autoregressive processes
• Bootstrap and wild bootstrap for high dimensional linear models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Unit root bootstrap tests for AR (1) models
• A Sieve Bootstrap For The Test Of A Unit Root
• Sample Splitting and Threshold Estimation
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Useful Modifications to some Unit Root Tests with Dependent Errors and their Local Asymptotic Properties
• Efficient Tests for an Autoregressive Unit Root
• Asymptotic and Bootstrap Inference for AR(∞) Processes with Conditional Heteroskedasticity
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrap Unit Root Tests
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• Evaluation of a three-step method for choosing the number of bootstrap repetitions

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