Modified fast double sieve bootstraps for ADF tests

DOI10.1016/J.CSDA.2009.07.008zbMath1453.62183OpenAlexW2055662390MaRDI QIDQ961955

Patrick Richard

Publication date: 1 April 2010

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: http://gredi.recherche.usherbrooke.ca/wpapers/GREDI-0817.pdf

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility ⋮ Detrending Bootstrap Unit Root Tests ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ The fast iterated bootstrap

Cites Work

• Bootstrap Unit-Root Tests: Comparison and Extensions
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Sieve bootstrap for time series
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• 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
• Time Series Regression with a Unit Root
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Bootstrap Unit Root Tests
• Bootstrapping Unit Root Tests for Autoregressive Time Series

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