Unit root testing via the stationary bootstrap

DOI10.1016/J.JECONOM.2005.06.008MaRDI QIDQ275254zbMATH OpenOpenAlexFDO

Authors Efstathios Paparoditis, Dimitris Politis, Cameron Parker

Publication date 25 April 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2005.06.008

zbMATH Keywords

autocorrelationintegrated time seriesresamplingstationary bootstrapunit root testing

Mathematics Subject Classification ID

Nonparametric statistical resampling methods (62G09) Non-Markovian processes: hypothesis testing (62M07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Residual-Based Block Bootstrap for Unit Root Testing
• A Sieve Bootstrap For The Test Of A Unit Root
• Stationary bootstrapping for semiparametric panel unit root tests
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Testing for a unit root in time series regression

Cites work

• A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
• Automatic Block-Length Selection for the Dependent Bootstrap
• Bootstrapping unit root tests for integrated processes
• Distribution of the Estimators for Autoregressive Time Series With a Unit Root
• scientific article; zbMATH DE number 1354815 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 854585 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• Inference For Autocorrelations Under Weak Assumptions
• Residual-Based Block Bootstrap for Unit Root Testing
• Testing for a unit root in time series regression
• The bootstrap of the mean for strong mixing sequences under minimal conditions
• The jackknife and the bootstrap for general stationary observations
• The Stationary Bootstrap
• Time Series Regression with a Unit Root
• Time series: theory and methods.
• Towards a unified asymptotic theory for autoregression

Cited in

(35)

• Bootstrap Unit-Root Tests: Comparison and Extensions
• On bootstrapping regressions with unit root processes
• Stationary bootstrapping for semiparametric panel unit root tests
• Stationary bootstrapping for common mean change detection in cross-sectionally dependent panels
• Tapered block bootstrap for unit root testing
• Linear process bootstrap unit root test
• On bootstrap implementation of likelihood ratio test for a unit root
• A test for second order stationarity of a multivariate time series
• Distribution theory for the Studentized mean for long, short, and negative memory time series
• Blockwise bootstrap testing for stationarity
• Stationary bootstrapping realized volatility
• Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors
• Residual‐based block bootstrap unit root testing in the presence of trend breaks
• scientific article; zbMATH DE number 5010397 (Why is no real title available?)
• Stationary bootstrapping realized volatility under market microstructure noise
• Strong consistency of the stationary bootstrap under \(\psi\)-weak dependence
• Stationary bootstrap for kernel density estimators under -weak dependence
• Bootstrapping unit root tests for integrated processes
• A Sieve Bootstrap For The Test Of A Unit Root
• Bootstrap-assisted unit root testing with piecewise locally stationary errors
• Block bootstrap testing for changes in persistence with heavy-tailed innovations
• A bootstrapped spectral test for adequacy in weak ARMA models
• Stationary bootstrapping for non-parametric estimator of nonlinear autoregressive model
• Bootstrap confidence intervals for a break date in linear regressions
• Detrending bootstrap unit root tests
• Bootstrap procedures for variance breaks test in time series with a changing trend
• Block bootstrap theory for multivariate integrated and cointegrated processes
• Stationary bootstrapping for panel cointegration tests under cross-sectional dependence
• Bootstrap union tests for unit roots in the presence of nonstationary volatility
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrapping I(1) data
• Bootstrap methods for dependent data: a review
• Bootstrapping the HEGY seasonal unit root tests
• Unit root testing based on BLUS residuals
• A bootstrap test for time series linearity

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