Robust unit root tests with autoregressive errors
From MaRDI portal
Publication:2830189
DOI10.1080/03610926.2014.955114zbMath1349.62386OpenAlexW2484412529MaRDI QIDQ2830189
Publication date: 9 November 2016
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2014.955114
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)
Related Items (1)
Cites Work
- Unnamed Item
- Weak limit theorems for stochastic integrals and stochastic differential equations
- Bootstrap tests for unit roots based on LAD estimation
- Bootstrapping unstable first-order autoregressive processes
- Unit root bootstrap tests under infinite variance
- Estimation of the Distribution of Noise in an Autoregression Scheme
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
- Multiple Time Series Regression with Integrated Processes
- Conditions for linear processes to be strong-mixing
- Unit root bootstrap tests for AR (1) models
- A Sieve Bootstrap For The Test Of A Unit Root
- Time Series Regression with a Unit Root
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Bootstrapping Unit Root Tests for Autoregressive Time Series
This page was built for publication: Robust unit root tests with autoregressive errors