Blockwise bootstrap testing for stationarity

DOI10.1016/J.SPL.2005.09.001MaRDI QIDQ2489865zbMATH OpenOpenAlexFDO

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

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)

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• A sieve bootstrap test for stationarity.
• Unit root testing via the stationary bootstrap
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Cites work

• scientific article; zbMATH DE number 854585 (Why is no real title available?)
• scientific article; zbMATH DE number 3357844 (Why is no real title available?)
• scientific article; zbMATH DE number 957960 (Why is no real title available?)
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• Convergence of stochastic processes
• Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
• Mixing: Properties and examples
• On stability of nonlinear AR processes with Markov switching
• On the Absolute Continuity of Distributions of Functionals of Random Processes
• On the power of stationarity tests using optimal bandwidth estimates
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Sieve bootstrap for time series
• Some mixing properties of time series models
• 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?
• The Stationary Bootstrap
• The jackknife and the bootstrap for general stationary observations

Cited in

(7)

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

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