Bootstrapping unit root tests with covariates

DOI10.1080/07474938.2015.1114279MaRDI QIDQ5864458zbMATH OpenOpenAlexFDO

Authors Yoosoon Chang, Robin C. Sickles, Wonho Song

Publication date 7 June 2022

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.419.8571

zbMATH Keywords

bootstrap consistencycovariatesunit root tests

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Recommendations

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Cites work

• A Sieve Bootstrap For The Test Of A Unit Root
• A consistent nonparametric test of ergodicity for time series with applications
• Bootstrap Unit Root Tests
• Bootstrapping unstable first-order autoregressive processes
• Efficient Tests for an Autoregressive Unit Root
• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Testing for a unit root in time series regression
• Testing for unit roots with stationary covariates
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
• Time series: theory and methods.

Cited in

(8)

• Testing for stationarity with covariates: more powerful tests with non-normal errors
• Bootstrap Unit-Root Tests: Comparison and Extensions
• Peter Schmidt: Econometrician and consummate professional
• Stationary bootstrapping for semiparametric panel unit root tests
• On bootstrap implementation of likelihood ratio test for a unit root
• A parametric stationarity test with smooth breaks
• A bootstrap causality test for covariance stationary processes
• Testing for explosive bubbles: a review

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