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

DOI10.1080/03610926.2014.901362zbMATH Open1345.60016OpenAlexW2343947666MaRDI QIDQ3178627FDOQ3178627

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

Recommendations

• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent
• Unit root bootstrap tests under infinite variance
• New tests for unit roots in autoregressive processes with possibly infinite variance errors
• Unit root bootstrap tests for AR (1) models

zbMATH Keywords

asymptotic distributionbootstrappingunit root testnormal law

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Time Series Regression with a Unit Root
• Donsker's theorem for self-normalized partial sums processes
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• On asymptotic properties of bootstrap for AR(1) processes
• Asymptotics for Self-Normalized Random Products of Sums for Mixing Sequences
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS
• The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent

Cited In (4)

• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent
• On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations
• ASYMPTOTIC MOMENTS OF SOME UNIT ROOT TEST STATISTICS IN THE NULL CASE

This page was built for publication: Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3178627)