A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS

DOI10.1017/S0266466603191025MaRDI QIDQ4449528zbMATH OpenOpenAlexFDO

Authors Anders Rygh Swensen

Publication date 11 February 2004

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466603191025

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Unit root bootstrap tests for AR (1) models
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• BootstrapMUnit Root Tests
• Bootstrap Unit Root Tests

Cites work

• Asymptotic inference for nearly nonstationary AR(1) processes
• Bootstrap tests: how many bootstraps?
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Bootstrapping general first order autoregression
• Bootstrapping time series models
• Bootstrapping unstable first-order autoregressive processes
• Efficient Tests for an Autoregressive Unit Root
• Recent developments in bootstrapping time series
• Testing for a unit root in time series regression
• The Stationary Bootstrap
• Towards a unified asymptotic theory for autoregression
• Unit root bootstrap tests for AR (1) models

Cited in

(19)

• Bootstrap Unit-Root Tests: Comparison and Extensions
• Stationary bootstrapping for semiparametric panel unit root tests
• Bootstrap point optimal unit root tests
• On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
• A note on bootstrapping unit root tests in the presence of a non-zero drift
• Performance of LM-type unit root tests with trend break: a bootstrap approach
• Unit root testing via the stationary bootstrap
• Bootstrap unit root tests in models with GARCH(1,1) errors
• BootstrapMUnit Root Tests
• Improving the power of unit root tests against fractional alternatives using bootstrap
• Power of a Unit-Root Test and the Initial Condition
• Unit root bootstrap tests for AR (1) models
• A Sieve Bootstrap For The Test Of A Unit Root
• Detrending bootstrap unit root tests
• Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
• Bootstrap Unit Root Tests
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Analytical evaluation of the power of tests for the absence of cointegration
• A note on the power of least squares tests for a unit root

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