BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS

DOI10.1017/S0266466618000038zbMath1415.62066arXiv1802.05333OpenAlexW2963232320MaRDI QIDQ4629568

Yeonwoo Rho, Xiao-Feng Shao

Publication date: 27 March 2019

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.05333

zbMATH Keywords

bootstrap-assisted unit root testingpiecewise locally stationary process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07)

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