Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance

DOI10.1080/03610926.2014.901362zbMath1345.60016OpenAlexW2343947666MaRDI QIDQ3178627

Ke Ang Fu, Xiao Rong Yang, Jie Li

Publication date: 15 July 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2014.901362

zbMATH Keywords

asymptotic distributionnormal lawunit root testbootstrapping

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

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On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations

Cites Work

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