scientific article; zbMATH DE number 5010397

zbMATH Open1126.91406MaRDI QIDQ3374065FDOQ3374065

Authors: Andrejus Parfionovas, Piotr Kokoszka 

Publication date: 9 March 2006

Title of this publication is not available (Why is that?)

Recommendations

• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• BootstrapMUnit Root Tests
• BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY
• Bootstrapping unit root tests for integrated processes
• Bootstrap test for stationarity of heavy-tailed series with structural breaks
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Unit root testing via the stationary bootstrap
• A hybrid bootstrap approach to unit root tests

zbMATH Keywords

financial time seriessize and power of the tests

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82) Economic time series analysis (91B84)

Cited In (9)

• Bootstrap procedures for variance breaks test in time series with a changing trend
• Bootstrap unit root tests in models with GARCH(1,1) errors
• A hybrid bootstrap approach to unit root tests
• Testing for bubbles and change-points
• Bootstrap test for stationarity of heavy-tailed series with structural breaks
• Title not available (Why is that?)
• Subsampling unit root tests for heavy-tailed observations
• Unit root tests and heavy-tailed innovations
• Bootstrapping the HEGY seasonal unit root tests

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3374065)