Modified fast double sieve bootstraps for ADF tests
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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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