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

DOI10.1080/03610926.2014.901362MaRDI QIDQ3178627zbMATH OpenOpenAlexFDO

Authors Ke-Ang Fu, Jie Li, Xiao Rong Yang

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 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)

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

Cites work

• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• Asymptotics for Self-Normalized Random Products of Sums for Mixing Sequences
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Donsker's theorem for self-normalized partial sums processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• On asymptotic properties of bootstrap for AR(1) processes
• 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
• Time Series Regression with a Unit Root

Cited in

(6)

• Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions
• 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
• Asymptotics for the residual-based bootstrap approximation in nearly nonstationary AR(1) models with possibly heavy-tailed innovations
• 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)