Detrending Bootstrap Unit Root Tests

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ On bootstrap implementation of likelihood ratio test for a unit root

Cites Work

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Bootstrap Unit-Root Tests: Comparison and Extensions
Unit root testing via the stationary bootstrap
Minimizing the impact of the initial condition on testing for unit roots
Testing for unit roots in the presence of uncertainty over both the trend and initial condition
Bootstrapping the HEGY seasonal unit root tests
Modified fast double sieve bootstraps for ADF tests
Panel unit root tests under cross section dependence with recursive mean adjustment
Asymptotics for linear processes
Sieve bootstrap for time series
Properties of recursive trend-adjusted unit root tests
A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
recursive Mean Adjustment for Unit Root Tests
UNIT ROOT TESTING IN PRACTICE: DEALING WITH UNCERTAINTY OVER THE TREND AND INITIAL CONDITION
BootstrapMUnit Root Tests
Assessing and Improving the Performance of Nearly Efficient Unit Root Tests in Small Samples
A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
REGRESSION, AUTOREGRESSION MODELS
Testing for a unit root in time series regression
Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
An ADF coefficient test for a unit root in ARMA models of unknown order with empirical applications to the US economy
Bootstrapping unit root tests for integrated processes
A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
A Sieve Bootstrap For The Test Of A Unit Root
LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
Efficient Tests for an Autoregressive Unit Root
BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY
Examination of Some More Powerful Modifications of the Dickey–Fuller Test
Residual-Based Block Bootstrap for Unit Root Testing
Tests for Unit Roots and the Initial Condition
Bootstrapping Unit Root Tests for Autoregressive Time Series

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