Unit root testing via the stationary bootstrap

DOI10.1016/j.jeconom.2005.06.008zbMath1345.62120OpenAlexW2093296623MaRDI QIDQ275254

Efstathios Paparoditis, Dimitris N. Politis, Cameron C. Parker

Publication date: 25 April 2016

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

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.008

zbMATH Keywords

resamplingautocorrelationintegrated time seriesstationary bootstrapunit root testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

Related Items (24)

Bootstrap confidence intervals for a break date in linear regressions ⋮ Stationary bootstrapping for semiparametric panel unit root tests ⋮ Stationary bootstrapping realized volatility ⋮ Detrending Bootstrap Unit Root Tests ⋮ Stationary bootstrapping realized volatility under market microstructure noise ⋮ Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels ⋮ Tapered block bootstrap for unit root testing ⋮ Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence ⋮ Stationary bootstrap for kernel density estimators under \(\psi\)-weak dependence ⋮ Distribution theory for the Studentized mean for long, short, and negative memory time series ⋮ Linear process bootstrap unit root test ⋮ BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Bootstrap procedures for variance breaks test in time series with a changing trend ⋮ Bootstrap Unit-Root Tests: Comparison and Extensions ⋮ A bootstrap test for time series linearity ⋮ Bootstrapping I(1) data ⋮ Bootstrap methods for dependent data: a review ⋮ Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes ⋮ A test for second order stationarity of a multivariate time series ⋮ Stationary bootstrapping for panel cointegration tests under cross-sectional dependence

Cites Work

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• Time series: theory and methods.
• The jackknife and the bootstrap for general stationary observations
• The bootstrap of the mean for strong mixing sequences under minimal conditions
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Inference For Autocorrelations Under Weak Assumptions
• Testing for a unit root in time series regression
• Towards a unified asymptotic theory for autoregression
• The Stationary Bootstrap
• Bootstrapping unit root tests for integrated processes
• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• Automatic Block-Length Selection for the Dependent Bootstrap
• Time Series Regression with a Unit Root
• Residual-Based Block Bootstrap for Unit Root Testing

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