Improving the power of unit root tests against fractional alternatives using bootstrap

MaRDI QIDQ3418261zbMATH OpenFDO

Authors Luisa Bisaglia, Isabella Procidano

Publication date 2 February 2007

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)

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Cited in

(5)

• Bootstrap Unit Root Tests
• On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
• Power comparison among tests for fractional unit roots
• A consistent test for unit root against fractional alternative
• On finite sample properties of the tests of robinson (1994) for fractional integration

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