Bootstrapping unit root tests for integrated processes

DOI10.1111/1467-9892.00295zbMath1023.62090MaRDI QIDQ4431630

Anders Rygh Swensen

Publication date: 22 October 2003

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00295

zbMATH Keywords

asymptotic distribution; stationary bootstrap; recursive bootstrap

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62G09: Nonparametric statistical resampling methods

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Cites Work

• Time series: theory and methods.
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Moving-average representation of autoregressive approximations
• Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
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