BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY

DOI10.1017/S0266466611000387zbMath1318.62275WikidataQ59107881 ScholiaQ59107881MaRDI QIDQ5389959

Stephan Smeekes, A. M. Robert Taylor

Publication date: 24 April 2012

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

62E20: Asymptotic distribution theory in statistics

62F40: Bootstrap, jackknife and other resampling methods

62M07: Non-Markovian processes: hypothesis testing

Related Items

BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS, Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility, Detrending Bootstrap Unit Root Tests, Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel, ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY, Sieve bootstrap inference for linear time-varying coefficient models, On bootstrap implementation of likelihood ratio test for a unit root

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