Residual-Based Block Bootstrap for Unit Root Testing

DOI10.1111/1468-0262.00427zbMath1154.62365OpenAlexW2130803168MaRDI QIDQ5472970

Efstathios Paparoditis, Dimitris N. Politis

Publication date: 19 June 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1468-0262.00427

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items

Unit root testing via the stationary bootstrap ⋮ Bootstrapping cointegrating regressions ⋮ Bootstrap testing for the null of no cointegration in a threshold vector error correction model ⋮ Exploring the Impact of Multivariate GARCH Innovations on Hypothesis Testing for Cointegrating Vectors ⋮ Unit root testing in presence of a double threshold process ⋮ Detrending Bootstrap Unit Root Tests ⋮ Ratio detections for change point in heavy tailed observations ⋮ Unnamed Item ⋮ Estimating the variance of a combined forecast: bootstrap-based approach ⋮ Bootstrap Sequential Tests to Determine the Order of Integration of Individual Units in A Time Series Panel ⋮ Inference in VARs with conditional heteroskedasticity of unknown form ⋮ A covariate residual-based cointegration test applied to the CDS-bond basis ⋮ Tapered block bootstrap for unit root testing ⋮ Bootstrap Inference for Garch Models by the Least Absolute Deviation Estimation ⋮ TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain ⋮ Testing joint hypotheses when one of the alternatives is one-sided ⋮ Linear process bootstrap unit root test ⋮ BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap ⋮ UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP ⋮ BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS ⋮ A bootstrapped spectral test for adequacy in weak ARMA models ⋮ Block bootstrap testing for changes in persistence with heavy-tailed innovations ⋮ Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors ⋮ Bootstrap procedures for variance breaks test in time series with a changing trend ⋮ Testing for bubbles and change-points ⋮ HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT ⋮ Bootstrapping the augmented Dickey–Fuller test for unit root using the MDIC ⋮ A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL ⋮ A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS ⋮ Bootstrap procedures in a spatial-temporal model ⋮ Bootstrap Unit-Root Tests: Comparison and Extensions ⋮ Cross-sectional dependence robust block bootstrap panel unit root tests ⋮ BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP ⋮ Hybrid bootstrap aided unit root testing ⋮ The impact of bootstrap methods on time series analysis ⋮ Residual‐based block bootstrap unit root testing in the presence of trend breaks ⋮ Testing for co-integration in vector autoregressions with non-stationary volatility ⋮ Bootstrapping I(1) data ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ Bootstrap methods for dependent data: a review ⋮ BootstrapMUnit Root Tests ⋮ BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY ⋮ Combining non-cointegration tests ⋮ Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes ⋮ A test for second order stationarity of a multivariate time series ⋮ Bootstrap tests for time varying cointegration