Bootstrap Unit-Root Tests: Comparison and Extensions

DOI10.1111/j.1467-9892.2007.00565.xzbMath1164.62051OpenAlexW1980329653MaRDI QIDQ102087

Franz C. Palm, Stephan Smeekes, Jean-Pierre Urbain, Jean-Pierre Urbain, Stephan Smeekes, Franz C. Palm

Publication date: March 2008

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2007.00565.x

zbMATH Keywords

Monte Carloresponse surfacebootstrap unit-root tests

Mathematics Subject Classification ID

Related Items (23)

Stationary bootstrapping for semiparametric panel unit root tests ⋮ A Gini-based unit root test ⋮ Unit root bootstrap tests under infinite variance ⋮ Detrending Bootstrap Unit Root Tests ⋮ Spatial autoregressions with an extended parameter space and similarity-based weights ⋮ Bootstrap point optimal unit root tests ⋮ Likelihood ratio test for change in persistence ⋮ Sieve bootstrap inference for linear time-varying coefficient models ⋮ Testing for boundary conditions in case of fractionally integrated processes ⋮ Linear process bootstrap unit root test ⋮ BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ The fast iterated bootstrap ⋮ Bootstrap tests for fractional integration and cointegration: a comparison study ⋮ Bootstrap procedures for variance breaks test in time series with a changing trend ⋮ Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Modified fast double sieve bootstraps for ADF tests ⋮ A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL ⋮ A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ On bootstrap implementation of likelihood ratio test for a unit root ⋮ Bootstrapping I(1) data ⋮ BootstrapMUnit Root Tests ⋮ bootUR ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY

Cites Work

• Unit root testing via the stationary bootstrap
• Bootstrapping the HEGY seasonal unit root tests
• Asymptotics for linear processes
• Sieve bootstrap for time series
• Moving-average representation of autoregressive approximations
• Bootstrapping unstable first-order autoregressive processes
• Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
• The Stationary Bootstrap
• Bootstrapping unit root tests for integrated processes
• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• A Sieve Bootstrap For The Test Of A Unit Root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrap Unit Root Tests
• Bootstrapping Unit Root Tests for Autoregressive Time Series

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