Unit root bootstrap tests for AR (1) models

DOI10.1093/BIOMET/83.4.849MaRDI QIDQ4364949zbMATH OpenOpenAlexFDO

Authors Nélida E. Ferretti, Juan Romo

Publication date 18 November 1997

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/83.4.849

zbMATH Keywords

autoregressive processbootstrapping least squares estimatorunit roots

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(46)

• An overview of bootstrap methods for estimating and predicting in time series
• Testing unit roots by bootstrap
• On bootstrapping regressions with unit root processes
• Unit root testing in integer-valued AR(1) models
• Bootstrap tests for unit roots in seasonal autoregressive models
• Stationary bootstrapping for semiparametric panel unit root tests
• A Gini-based unit root test
• 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
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• Bootstrap tests for unit roots based on LAD estimation
• A strategy for testing the unit root in AR(1) model with intercept: a Monte Carlo experiment
• Testing for unit roots in bounded time series
• Inconsistency of bootstrap for nonstationary, vector autoregressive processes
• 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
• Bootstrap unit root tests in models with GARCH(1,1) errors
• Bootstrap assisted specification tests for the ARFIMA model
• Bootstrap in nonstationary autoregression.
• Asymptotic properties of the bootstrap unit root test statistic under possibly infinite variance
• BootstrapMUnit Root Tests
• Improving the power of unit root tests against fractional alternatives using bootstrap
• Bootstrapping unit root tests for integrated processes
• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• Bootstrapping the Breusch-Godfrey autocorrelation test for a single equation dynamic model: Bootstrapping the Restricted vs. Unrestricted model
• AR(1) MODELS, UNIT ROOTS, AND ADJUSTED PROFILE LIKELIHOOD
• Bootstrapping time series models
• Detrending bootstrap unit root tests
• Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions
• Bootstrap-based unit root tests for higher order autoregressive models with GARCH(1, 1) errors
• Bootstrap LR tests of stationarity, common trends and cointegration
• Heteroskedastic time series with a unit root
• Bootstrap Unit Root Tests
• Bootstrapping Autoregressive Processes with Possible Unit Roots
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• A primer on bootstrap testing of hypotheses in time series models: with an application to double autoregressive models
• Bootstrapping unit root tests with covariates
• Large-sample inference in the general AR(1) model
• Spatial autoregressions with an extended parameter space and similarity-based weights
• Bounded unit root processes with non-stationary volatility
• Comparison of classical and Bayesian approaches for intervention analysis
• Bootstrapping I(1) data
• Bootstrapping the HEGY seasonal unit root tests

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