Linear process bootstrap unit root test

Nan Zou; Dimitris Politis

doi:10.1016/j.spl.2018.08.006

Linear process bootstrap unit root test

Nan Zou, Dimitris Politis

Research output: Contribution to journal › Article › peer-review

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 language	English
Pages (from-to)	74-80
Number of pages	7
Journal	Statistics and Probability Letters
Volume	145
DOIs	https://doi.org/10.1016/j.spl.2018.08.006
Publication status	Published - Feb 2019
Externally published	Yes

Keywords

Integrated time series
Size distortion
Resampling
Functional central limit theorem

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10.1016/j.spl.2018.08.006

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title = "Linear process bootstrap unit root test",

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.",

keywords = "Integrated time series, Size distortion, Resampling, Functional central limit theorem",

author = "Nan Zou and Dimitris Politis",

year = "2019",

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KW - Integrated time series

KW - Size distortion

KW - Resampling

KW - Functional central limit theorem

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EP - 80

JO - Statistics and Probability Letters

JF - Statistics and Probability Letters

ER -

Linear process bootstrap unit root test

Abstract

Keywords

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