Robust unit root tests with autoregressive errors

DOI10.1080/03610926.2014.955114MaRDI QIDQ2830189zbMATH OpenOpenAlexFDO

Authors Marta Moreno, Juan Romo

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

zbMATH Keywords

bootstrapleast absolute deviationautoregressive processunit rootautoregressive errors

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: hypothesis testing (62M07)

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Cites work

• scientific article; zbMATH DE number 3550005 (Why is no real title available?)
• A Sieve Bootstrap For The Test Of A Unit Root
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Bootstrap tests for unit roots based on LAD estimation
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Bootstrapping unstable first-order autoregressive processes
• Conditions for linear processes to be strong-mixing
• Estimation of the Distribution of Noise in an Autoregression Scheme
• Limit theory for autoregressive-parameter estimates in an infinite-variance random walk
• Multiple Time Series Regression with Integrated Processes
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Time Series Regression with a Unit Root
• Unit root bootstrap tests for AR (1) models
• Unit root bootstrap tests under infinite variance
• Weak limit theorems for stochastic integrals and stochastic differential equations

Cited in

(9)

• Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
• Bootstrap tests for unit roots based on LAD estimation
• Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions
• Locally most powerful test for the random coefficient autoregressive model
• Robust Sign Test for the Unit Root Hypothesis of Autoregression
• Simple robust tests for autocorrelated errors in time series design intervention models
• A weighted least squares procedure to approximate least absolute deviation estimation in time series with specific reference to infinite variance unit root problems
• A hybrid bootstrap approach to unit root tests
• Unit root bootstrap tests under infinite variance

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