A Sieve Bootstrap For The Test Of A Unit Root

DOI10.1111/1467-9892.00312MaRDI QIDQ4455657zbMATH OpenOpenAlexFDO

Authors Yoosoon Chang, Joon Y. Park

Publication date 16 March 2004

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9892.00312

zbMATH Keywords

autoregressive approximationsieve bootstraplinear processtest of unit root

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• scientific article; zbMATH DE number 3245885 (Why is no real title available?)
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• On asymptotic properties of bootstrap for AR(1) processes
• On the Size Properties of Phillips-Perron Tests
• Time series: theory and methods.

Cited in

(63)

• TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY
• Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap
• Heteroskedastic time series with a unit root
• Linear process bootstrap unit root test
• Modified fast double sieve bootstraps for ADF tests
• Testing for boundary conditions in case of fractionally integrated processes
• Block bootstrap HAC robust tests: the sophistication of the naive bootstrap
• Testing for explosive bubbles: a review
• Size improvement of the KPSS test using sieve bootstraps
• A bootstrap theory for weakly integrated processes
• Bootstrapping cointegrating regressions
• A hybrid bootstrap approach to unit root tests
• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
• Detrending bootstrap unit root tests
• Micro versus macro cointegration in heterogeneous panels
• Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
• A Bootstrap Test for Symmetry of Dependent Data Based on a Kolmogorov–Smirnov Type Statistic
• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• A sieve bootstrap test for cointegration in a conditional error correction model
• Stationary bootstrapping for semiparametric panel unit root tests
• A bootstrap test for jumps in financial economics
• Wavelet variance ratio cointegration test and wavestrapping
• Modelling dependent data for longevity projections
• Testing for unit roots in bounded time series
• Bootstrap-assisted unit root testing with piecewise locally stationary errors
• Bootstrap unit root tests in panels with cross-sectional dependency
• Bootstrap tests for unit roots in seasonal autoregressive models
• Bootstrap inference for instrumental variable models with many weak instruments
• A unified unit root test regardless of intercept
• Testing for unit roots in short panels allowing for a structural break
• Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
• Bootstrapping factor-augmented regression models
• On detecting non‐monotonic trends in environmental time series: a fusion of local regression and bootstrap
• Unit root inference for non-stationary linear processes driven by infinite variance innovations
• BootstrapMUnit Root Tests
• Wavelet energy ratio unit root tests
• Bootstrap Prediction Intervals for Factor Models
• A test for fractional cointegration using the sieve bootstrap
• A panel bootstrap cointegration test
• On bootstrap implementation of likelihood ratio test for a unit root
• Bootstrap Unit-Root Tests: Comparison and Extensions
• A powerful test of the autoregressive unit root hypothesis based on a tuning parameter free statistic
• A sieve bootstrap test for stationarity.
• Bootstrapping unit root tests for integrated processes
• Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
• Bootstrapping I(1) data
• Time-varying cointegration and the Kalman filter
• General model-free weighted envelope estimation
• A bootstrap-based KPSS test for functional time series
• Properties of the neural network sieve bootstrap
• The fast iterated bootstrap
• Unit root testing via the stationary bootstrap
• Hybrid bootstrap aided unit root testing
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• A powerful wild bootstrap diagnosis of panel unit roots under linear trends and time-varying volatility
• Unit root bootstrap tests under infinite variance
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Bootstrap inference for linear dynamic panel data models with individual fixed effects
• Bootstrapping unit root tests with covariates
• Robust unit root tests with autoregressive errors
• Nonlinear autoregressive sieve bootstrap based on extreme learning machines
• A Meta Analytic Approach to Testing for Panel Cointegration
• Cross-sectional correlation robust tests for panel cointegration

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