Residual‐based block bootstrap unit root testing in the presence of trend breaks

DOI10.1111/J.1368-423X.2005.00167.XMaRDI QIDQ3367407zbMATH OpenOpenAlexFDO

Authors Evangelos E. Ioannidis

Publication date 24 January 2006

Published in Econometrics Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1368-423x.2005.00167.x

zbMATH Keywords

augmented Dickey-Fullerautoregressive processblock bootstrapintegrated time seriestablestrend breakunit root test

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Residual-Based Block Bootstrap for Unit Root Testing
• Testing for unit roots under multiple possible trend breaks and non-stationary volatility using bootstrap minimum Dickey-Fuller statistics
• Unit root testing via the stationary bootstrap
• Testing for unit roots in the possible presence of multiple trend breaks using minimum Dickey-Fuller statistics
• Bootstrap Unit-Root Tests: Comparison and Extensions

Cites work

• Further evidence on breaking trend functions in macroeconomic variables
• GLS detrending, efficient unit root tests and structural change.
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Residual-Based Block Bootstrap for Unit Root Testing
• Testing for a unit root in variables with a double change in the mean
• Time series. Data analysis and theory.

Cited in

(5)

• Tapered block bootstrap for unit root testing
• UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP
• Bayesian tests for unit root and multiple breaks
• Residual-Based Block Bootstrap for Unit Root Testing
• Unit root testing based on BLUS residuals

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