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

autocorrelationresamplingstationary bootstrapintegrated time seriesunit root testing

Mathematics Subject Classification ID

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

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

• 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?)
• 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
• Inference For Autocorrelations Under Weak Assumptions
• Residual-Based Block Bootstrap for Unit Root Testing
• Testing for a unit root in time series regression
• The Stationary Bootstrap
• The bootstrap of the mean for strong mixing sequences under minimal conditions
• The jackknife and the bootstrap for general stationary observations
• Time Series Regression with a Unit Root
• Time series: theory and methods.
• Towards a unified asymptotic theory for autoregression

Cited in

(34)

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

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