Blockwise bootstrap testing for stationarity

DOI10.1016/J.SPL.2005.09.001zbMATH Open1086.62088OpenAlexW1984452051MaRDI QIDQ2489865FDOQ2489865

Authors: Zacharias Psaradakis 

Publication date: 28 April 2006

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2005.09.001

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zbMATH Keywords

Monte Carlo simulationResamplingStationary bootstrapStrong mixingBootstrap test

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

Cites Work

• Mixing: Properties and examples
• Sieve bootstrap for time series
• The jackknife and the bootstrap for general stationary observations
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Title not available (Why is that?)
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• The Stationary Bootstrap
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Convergence of stochastic processes
• Bootstrapping unit root tests for integrated processes
• Comparisons of Tests for the Presence of Random Walk Coefficients in a Simple Linear Model
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• Title not available (Why is that?)
• On the power of stationarity tests using optimal bandwidth estimates
• On the Absolute Continuity of Distributions of Functionals of Random Processes
• Some mixing properties of time series models
• Conditions for linear processes to be strong-mixing
• Title not available (Why is that?)
• A threshold AR(1) model
• On stability of nonlinear AR processes with Markov switching
• A sieve bootstrap test for stationarity.
• A note on a simple Markov bilinear stochastic process

Cited In (7)

• Bootstrapping the Box-Pierce \(Q\) test: a robust test of uncorrelatedness
• A test for weak stationarity in the spectral domain
• Bootstrap test for stationarity of heavy-tailed series with structural breaks
• A Nonparametric Test for Weak Dependence Against Strong Cycles and its Bootstrap Analogue
• A sieve bootstrap test for stationarity.
• Bootstrap methods for dependent data: a review
• Nonlinear autoregressive sieve bootstrap based on extreme learning machines

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