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Blockwise bootstrap testing for stationarity

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  • Psaradakis, Zacharias

Abstract

This paper proposes a bootstrap test for the null hypothesis that a stochastic process is stationary against the alternative hypothesis that it is integrated of order 1. The test is constructed by using a stationary bootstrap scheme, which involves resampling blocks of consecutive observations of random length. The first-order asymptotic correctness of the stationary bootstrap test is established for a large class of weakly dependent processes. The small-sample properties of the method are also investigated by means of Monte Carlo experiments.

Suggested Citation

  • Psaradakis, Zacharias, 2006. "Blockwise bootstrap testing for stationarity," Statistics & Probability Letters, Elsevier, vol. 76(6), pages 562-570, March.
    • Handle: RePEc:eee:stapro:v:76:y:2006:i:6:p:562-570
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    References listed on IDEAS

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    1. James G. MacKinnon & Russell Davidson, 2000. "Improving The Reliability Of Bootstrap Tests," Working Paper 995, Economics Department, Queen's University.
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    5. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    6. Lee, Junsoo, 1996. "On the power of stationarity tests using optimal bandwidth estimates," Economics Letters, Elsevier, vol. 51(2), pages 131-137, May.
    7. Anders Rygh Swensen, 2003. "Bootstrapping unit root tests for integrated processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(1), pages 99-126, January.
    8. Psaradakis, Zacharias, 2003. "A sieve bootstrap test for stationarity," Statistics & Probability Letters, Elsevier, vol. 62(3), pages 263-274, April.
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    Cited by:

    1. Hanck, Christoph, 2006. "For Which Countries did PPP hold? A Multiple Testing Approach," Technical Reports 2006,47, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Sevan Gulesserian & Mohitosh Kejriwal, 2014. "On the power of bootstrap tests for stationarity: a Monte Carlo comparison," Empirical Economics, Springer, vol. 46(3), pages 973-998, May.

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