Bootstrapping unit root tests for integrated processes

DOI10.1111/1467-9892.00295zbMath1023.62090OpenAlexW2128308269MaRDI QIDQ4431630

Anders Rygh Swensen

Publication date: 22 October 2003

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00295

zbMATH Keywords

asymptotic distributionstationary bootstraprecursive bootstrap

Mathematics Subject Classification ID

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

Related Items (26)

Resampling methods in econometrics ⋮ Unit root testing via the stationary bootstrap ⋮ Stationary bootstrapping for semiparametric panel unit root tests ⋮ Stationary bootstrapping realized volatility ⋮ Cross-sectional correlation robust tests for panel cointegration ⋮ Unit root bootstrap tests under infinite variance ⋮ Detrending Bootstrap Unit Root Tests ⋮ Stationary bootstrapping realized volatility under market microstructure noise ⋮ Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels ⋮ Tapered block bootstrap for unit root testing ⋮ Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence ⋮ Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence ⋮ Linear process bootstrap unit root test ⋮ BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ Bootstrap procedures for variance breaks test in time series with a changing trend ⋮ Bootstrapping the augmented Dickey–Fuller test for unit root using the MDIC ⋮ Blockwise bootstrap testing for stationarity ⋮ Bootstrap Unit-Root Tests: Comparison and Extensions ⋮ Hybrid bootstrap aided unit root testing ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ Quasi-maximum likelihood estimation and bootstrap inference in fractional time series models with heteroskedasticity of unknown form ⋮ Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ Bootstrap hypothesis testing in regression models ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Stationary bootstrapping for panel cointegration tests under cross-sectional dependence

Cites Work

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• Time series: theory and methods.
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Moving-average representation of autoregressive approximations
• Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors

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