Modified fast double sieve bootstraps for ADF tests

DOI10.1016/J.CSDA.2009.07.008MaRDI QIDQ961955zbMATH OpenOpenAlexFDO

Authors 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)

Recommendations

• A Sieve Bootstrap For The Test Of A Unit Root
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Hybrid bootstrap aided unit root testing
• Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
• Bootstrap Unit Root Tests

Cites work

• A Sieve Bootstrap For The Test Of A Unit Root
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Bootstrap Unit Root Tests
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Improving the reliability of bootstrap tests with the fast double bootstrap
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• On the distributions of augmented Dickey-Fuller statistics in processes with moving average components
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Sieve bootstrap for time series
• Time Series Regression with a Unit Root

Cited in

(7)

• Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
• 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
• The fast iterated bootstrap
• Hybrid bootstrap aided unit root testing
• Lag length selection for unit root tests in the presence of nonstationary volatility

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