Bootstrap Unit Root Tests

DOI10.1111/1468-0262.00471MaRDI QIDQ5473006zbMATH OpenOpenAlexFDO

Authors Joon Y. Park

Publication date 19 June 2006

Published in Econometrica (Search for Journal in Brave)

Full work available at URL http://fmwww.bc.edu/RePEc/es2000/1587.pdf

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

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Cited in

(42)

• Heteroskedastic time series with a unit root
• Linear process bootstrap unit root test
• Modified fast double sieve bootstraps for ADF tests
• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
• Bootstrap unit root tests in models with GARCH(1,1) errors
• A bootstrap theory for weakly integrated processes
• Bootstrapping cointegrating regressions
• Parallel bootstrap and optimal subsample lengths in smooth function models
• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
• Detrending bootstrap unit root tests
• Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
• Improving the reliability of bootstrap tests with the fast double bootstrap
• Bootstrap tests for time varying cointegration
• A sieve bootstrap test for cointegration in a conditional error correction model
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Stationary bootstrapping for semiparametric panel unit root tests
• Testing for co-integration in vector autoregressions with non-stationary volatility
• Bootstrap unit root tests in panels with cross-sectional dependency
• The size and power of bootstrap tests for spatial dependence in a linear regression model
• Testing for unit roots in short panels allowing for a structural break
• Unit root test combination via random forests
• Functional regression of continuous state distributions
• On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations
• BootstrapMUnit Root Tests
• A panel bootstrap cointegration test
• Cointegration rank testing under conditional heteroskedasticity
• The Grid Bootstrap for Continuous Time Models
• On bootstrap implementation of likelihood ratio test for a unit root
• Bootstrap Unit-Root Tests: Comparison and Extensions
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Second order expansion of the T-statistic in AR(1) models
• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
• Bootstrapping I(1) data
• Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
• On bootstrapping panel factor series
• Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Bootstrapping unit root tests with covariates
• Joint modeling of hospitalization and mortality of Ontario Covid-19 cases
• Bootstrap hypothesis testing in regression models
• Taking a new contour: a novel approach to panel unit root tests

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