On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations

DOI10.1080/03610918.2020.1855446MaRDI QIDQ6171302zbMATH OpenOpenAlexFDO

Authors

Publication date 18 July 2023

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610918.2020.1855446

zbMATH Keywords

asymptotic distributionlong memoryunit rootbootstrap estimator

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Central limit and other weak theorems (60F05)

Cites work

• scientific article; zbMATH DE number 741240 (Why is no real title available?)
• scientific article; zbMATH DE number 1944033 (Why is no real title available?)
• scientific article; zbMATH DE number 4000257 (Why is no real title available?)
• A bootstrap approximation to a unit root test statistic for heavy-tailed observations.
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Additions and correction to ``The bootstrap of the mean with arbitrary bootstrap sample size
• Asymptotic properties of self-normalized linear processes with long memory
• Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance
• Bootstrap Unit Root Tests
• Bootstrapping general first order autoregression
• Bootstrapping unstable first-order autoregressive processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• Estimators of long-memory: Fourier versus wavelets
• Kernel entropy estimation for linear processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• On asymptotic properties of bootstrap for AR(1) processes
• SIMULATION METHODS FOR LINEAR FRACTIONAL STABLE MOTION AND FARIMA USING THE FAST FOURIER TRANSFORM
• THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS
• The Fractional Unit Root Distribution
• The bootstrap of the mean with arbitrary bootstrap sample size
• The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent
• Towards a unified asymptotic theory for autoregression
• UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES

Cited in

(2)

• The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent
• Tests of long memory: a bootstrap approach

This page was built for publication: On the validity of the residual-based bootstrap for the unit root test statistic with long memory observations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6171302)