Linear process bootstrap unit root test

Nan Zou, Dimitris Politis

Research output: Contribution to journalArticle

Abstract

One of the most widely applied unit root tests suffers from size distortions when moving average noise exists. As a remedy, this paper proposes a bootstrap test targeting moving average noise and shows its effectiveness in both theory and simulation.
Original languageEnglish
Pages (from-to)74-80
Number of pages7
JournalStatistics and Probability Letters
Volume145
DOIs
Publication statusPublished - Feb 2019
Externally publishedYes

Keywords

  • Integrated time series
  • Size distortion
  • Resampling
  • Functional central limit theorem

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