BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY

DOI10.1017/S0266466611000387zbMath1318.62275WikidataQ59107881 ScholiaQ59107881MaRDI QIDQ5389959

Stephan Smeekes, A. M. Robert Taylor

Publication date: 24 April 2012

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

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)

Related Items (7)

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility ⋮ Detrending Bootstrap Unit Root Tests ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel ⋮ Sieve bootstrap inference for linear time-varying coefficient models ⋮ 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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• Asymptotics for linear processes
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
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• THE AVAILABLE INFORMATION FOR INVARIANT TESTS OF A UNIT ROOT
• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
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• REJOINDER
• BootstrapMUnit Root Tests
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• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
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• HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT
• Residual-Based Block Bootstrap for Unit Root Testing
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• Bootstrapping Unit Root Tests for Autoregressive Time Series

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