The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent

DOI10.1007/s00184-006-0070-yzbMath1106.62101OpenAlexW2054012844MaRDI QIDQ870513

Xiao Rong Yang, Zhang, Lixin

Publication date: 12 March 2007

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-006-0070-y

zbMATH Keywords

BootstrapAsymptotic normalityDependent random variablesUnit roost

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Bootstrap, jackknife and other resampling methods (62F40)

Related Items (3)

Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance ⋮ Estimation of the mean for critical branching process and its bootstrap approximation ⋮ On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations

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• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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