Adaptive Wild Bootstrap Tests for a Unit Root With Non‐Stationary Volatility

DOI10.1111/ectj.12100OpenAlexW2740869946MaRDI QIDQ5084371

H. Peter Boswijk, Yang Zu

Publication date: 24 June 2022

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

Full work available at URL: https://doi.org/10.1111/ectj.12100

zbMATH Keywords

unit rootwild bootstrapadaptive testingpower envelopenon-parametric estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (6)

UNIT ROOT TEST WITH HIGH-FREQUENCY DATA ⋮ Estimation of the variance function in structural break autoregressive models with non‐stationary and explosive segments ⋮ Level shift estimation in the presence of non-stationary volatility with an application to the unit root testing problem ⋮ Adaptive estimation of AR(\(\infty\)) models with time-varying variances ⋮ Cointegration in high frequency data ⋮ Testing explosive bubbles with time-varying volatility

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