Bootstrapping Unit Root Tests for Autoregressive Time Series

DOI10.1198/016214504000001998MaRDI QIDQ5754836zbMATH OpenOpenAlexFDO

Authors Efstathios Paparoditis, Dimitris Politis

Publication date 20 August 2007

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1198/016214504000001998

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(43)

• Bootstrap Unit-Root Tests: Comparison and Extensions
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• Testing unit roots by bootstrap
• On bootstrapping regressions with unit root processes
• Bootstrap tests for unit roots in seasonal autoregressive models
• Stationary bootstrapping for semiparametric panel unit root tests
• A Gini-based unit root test
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Wild bootstrap tests for autocorrelation in vector autoregressive models
• Bootstrap point optimal unit root tests
• Linear process bootstrap unit root test
• On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
• A note on bootstrapping unit root tests in the presence of a non-zero drift
• Unit root testing via the stationary bootstrap
• Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
• Robust unit root tests with autoregressive errors
• Unit root bootstrap tests under infinite variance
• scientific article; zbMATH DE number 5010397 (Why is no real title available?)
• BootstrapMUnit Root Tests
• 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 sieve bootstrap test for cointegration in a conditional error correction model
• Unit root bootstrap tests for AR (1) models
• Bootstrapping unit root tests for integrated processes
• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• A Sieve Bootstrap For The Test Of A Unit Root
• Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model
• Bootstrap-assisted unit root testing with piecewise locally stationary errors
• A simple bootstrap test for time series regression models
• Detrending bootstrap unit root tests
• A hybrid bootstrap approach to unit root tests
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Asymptotic of the L_r-norm of density estimators in the autoregressive time series
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• TFT-bootstrap: resampling time series in the frequency domain to obtain replicates in the time domain
• Conditional parametric bootstrap in GLARMA models
• Bootstrapping I(1) data
• Bootstrap methods for dependent data: a review
• Bootstrapping the HEGY seasonal unit root tests
• Modified fast double sieve bootstraps for ADF tests

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