A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS

DOI10.1017/S0266466603191025zbMath1031.62078OpenAlexW1993055888MaRDI QIDQ4449528

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

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

Related Items (8)

Unit root testing via the stationary bootstrap ⋮ Stationary bootstrapping for semiparametric panel unit root tests ⋮ Detrending Bootstrap Unit Root Tests ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ Bootstrap point optimal unit root tests ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ Bootstrap Unit-Root Tests: Comparison and Extensions

Cites Work

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

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