Wild bootstrap tests for unit root in ESTAR models

DOI10.1007/S10260-014-0289-0zbMath1416.62510OpenAlexW1966614356MaRDI QIDQ893021

Daiki Maki

Publication date: 13 November 2015

Published in: Statistical Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10260-014-0289-0

zbMATH Keywords

unit rootwild bootstrapESTARheteroskedastic variance

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• The wild bootstrap, tamed at last
• Testing for unit roots in time series models with non-stationary volatility
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrap procedures under some non-i.i.d. models
• Testing for a unit root in the presence of a variance shift
• Unit root tests with a break in innovation variance.
• Testing for a unit root in the nonlinear STAR framework
• Testing stationarity under a permanent variance shift
• The size performance of a nonparametric unit root test under a variance shift
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Unit Root Tests under Time-Varying Variances
• Testing for a unit root in a stationary ESTAR process
• BootstrapMUnit Root Tests
• Specifying Smooth Transition Regression Models in the Presence of Conditional Heteroskedasticity of Unknown Form
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models
• Multivariate Stochastic Variance Models

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