Testing unit roots by bootstrap

MaRDI QIDQ1395966zbMATH OpenFDO

Authors S. Rigatti Luchini, Isabella Procidano

Publication date 12 October 2003

Published in Metron (Search for Journal in Brave)

zbMATH Keywords

GARCH models

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Unit root bootstrap tests for AR (1) models
• Bootstrap tests for unit roots in seasonal autoregressive models
• Testing for a unit root with nonstationary nonlinear heteroskedasticity
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Bootstrap Unit-Root Tests: Comparison and Extensions

Cited in

(4)

• Bootstrap Unit-Root Tests: Comparison and Extensions
• On the power of the Augmented Dickey--Fuller test against fractional alternatives using bootstrap.
• External bootstrap test for the search of common roots in the presence of outliers
• A Sieve Bootstrap For The Test Of A Unit Root

This page was built for publication: Testing unit roots by bootstrap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1395966)