Stationary bootstrapping for semiparametric panel unit root tests

DOI10.1016/J.CSDA.2014.09.004MaRDI QIDQ1623765zbMATH OpenOpenAlexFDO

Authors Dong Wan Shin, Eunju Hwang

Publication date 23 November 2018

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2014.09.004

zbMATH Keywords

cross-sectional dependencerecursive mean adjustmentdifference-based bootstrappingresidual-based bootstrapping

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Recommendations

• Unit root testing via the stationary bootstrap
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• Bootstrap unit root tests in panels with cross-sectional dependency
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• Bootstrapping unit root tests for integrated processes
• Bootstrapping unit root tests with covariates
• Stationary bootstrapping for cointegrating regressions
• On bootstrapping regressions with unit root processes
• A hybrid bootstrap approach to unit root tests

Cites work

• scientific article; zbMATH DE number 2206052 (Why is no real title available?)
• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• A PANIC attack on unit roots and cointegration.
• A Sieve Bootstrap For The Test Of A Unit Root
• A note on the stationary bootstrap's variance
• An instrumental variable approach for panel unit root tests under cross-sectional dependence
• Bootstrap Unit Root Tests
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Bootstrap unit root tests in panels with cross-sectional dependency
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Bootstrapping unit root tests for integrated processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Dynamic panel estimation and homogeneity testing under cross section dependence
• Nonlinear IV unit root tests in panels with cross-sectional dependency.
• Recursive mean adjustment for unit root tests
• Recursive mean adjustment in time-series inferences
• Stationary bootstrap for kernel density estimators under -weak dependence
• Stationary bootstrapping for cointegrating regressions
• Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
• Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence
• Testing for a unit root in panels with dynamic factors
• Testing for a unit root in time series regression
• Testing for unit roots in heterogeneous panels.
• Testing for unit roots in small panels with short-run and long-run cross-sectional dependencies
• The Stationary Bootstrap
• Unit root bootstrap tests for AR (1) models
• Unit root testing via the stationary bootstrap
• Unit root tests in panel data: asymptotic and finite-sample properties

Cited in

(11)

• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Bootstrap innovational outlier unit root tests in dependent panels
• Block bootstrapping for a panel mean break test
• Bootstrap-assisted unit root testing with piecewise locally stationary errors
• Bootstrap unit root tests in panels with cross-sectional dependency
• Sieve bootstrapt-tests on long-run average parameters
• Cross-sectional dependence robust block bootstrap panel unit root tests
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Weak convergence for stationary bootstrap empirical processes of associated sequences
• Unit root testing via the stationary bootstrap
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility

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