On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
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Publication:1852934
DOI10.1016/S0165-1765(02)00146-5zbMath1158.91459MaRDI QIDQ1852934
Luisa Bisaglia, Isabella Procidano
Publication date: 21 January 2003
Published in: Economics Letters (Search for Journal in Brave)
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Statistical methods; economic indices and measures (91B82)
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Cites Work
- Bootstrap procedures under some non-i.i.d. models
- Fractional integration and the augmented Dickey--Fuller test
- On the power of unit root tests against fractional alternatives
- Sieve bootstrap for time series
- Testing unit roots by bootstrap
- Bootstrapping unstable first-order autoregressive processes
- Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors
- Testing for unit roots in autoregressive-moving average models of unknown order
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Unit root bootstrap tests for AR (1) models
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