IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Residual-Based Block Bootstrap for Unit Root Testing

  • Efstathios Paparoditis

    ()

  • Dimitris N. Politis
Registered author(s):

    A nonparametric, residual-based block bootstrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of the stationary process driving the random walk and successfully generates unit root integrated pseudo-series retaining the important characteristics of the data. It is more general than previous bootstrap approaches to the unit root problem in that it allows for a very wide class of weakly dependent processes and it is not based on any parametric assumption on the process generating the data. As a consequence the procedure can accurately capture the distribution of many unit root test statistics proposed in the literature. Large sample theory is developed and the asymptotic validity of the block bootstrap-based unit root testing is shown via a bootstrap functional limit theorem. Applications to some particular test statistics of the unit root hypothesis, i.e., least squares and Dickey-Fuller type statistics are given. The power properties of our procedure are investigated and compared to those of alternative bootstrap approaches to carry out the unit root test. Some simulations examine the finite sample performance of our procedure. Copyright Econometric Society, 2002.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL: http://www.blackwellpublishing.com/ecta/asp/abstract.asp?iid=3&aid=427&vid=71
    File Function: link to full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.

    Article provided by Econometric Society in its journal Econometrica.

    Volume (Year): 71 (2003)
    Issue (Month): 3 (05)
    Pages: 813-855

    as
    in new window

    Handle: RePEc:ecm:emetrp:v:71:y:2003:i:3:p:813-855
    Contact details of provider: Phone: 1 212 998 3820
    Fax: 1 212 995 4487
    Web page: http://www.econometricsociety.org/
    Email:


    More information through EDIRC

    Order Information: Web: https://www.econometricsociety.org/publications/econometrica/access/ordering-back-issues Email:


    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:ecm:emetrp:v:71:y:2003:i:3:p:813-855. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)

    or (Christopher F. Baum)

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.