Bootstrapping the augmented Dickey–Fuller test for unit root using the MDIC

DOI10.1080/00949655.2010.539219zbMath1431.62402OpenAlexW1985170296MaRDI QIDQ4913960

Alex Karagrigoriou, Panagiotis Mantalos

Publication date: 17 April 2013

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949655.2010.539219

zbMATH Keywords

bootstrapmodel selectiontime series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Non-Markovian processes: hypothesis testing (62M07) Statistical aspects of information-theoretic topics (62B10)

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