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)

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

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