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

DOI10.1080/03610918.2020.1855446OpenAlexW3134138571MaRDI QIDQ6171302FDOQ6171302

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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

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• Title not available (Why is that?)
• UNIT ROOT TESTING FOR FUNCTIONALS OF LINEAR PROCESSES
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• THE INVARIANCE PRINCIPLE FOR LINEAR PROCESSES WITH APPLICATIONS
• Asymptotic properties of self-normalized linear processes with long memory
• Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance
• The limit distribution of the bootstrap for the unit root test statistic when the residuals are dependent
• Kernel entropy estimation for 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

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