Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance

DOI10.1080/03610926.2014.901362zbMath1345.60016OpenAlexW2343947666MaRDI QIDQ3178627

Ke Ang Fu, Xiao Rong Yang, Jie Li

Publication date: 15 July 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.901362

zbMATH Keywords

asymptotic distributionnormal lawunit root testbootstrapping

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

Related Items (1)

On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations

Cites Work

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• The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• Donsker's theorem for self-normalized partial sums processes
• On asymptotic properties of bootstrap for AR(1) processes
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS
• Asymptotics for Self-Normalized Random Products of Sums for Mixing Sequences

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