Hybrid bootstrap aided unit root testing
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References listed on IDEAS
- 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.
- Yoosoon Chang & Joon Y. Park, 2003. "A Sieve Bootstrap For The Test Of A Unit Root," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(4), pages 379-400, July.
- Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-1072, June.
- Schwert, G William, 2002.
"Tests for Unit Roots: A Monte Carlo Investigation,"
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- Jentsch, Carsten & Kreiss, Jens-Peter, 2010. "The multiple hybrid bootstrap -- Resampling multivariate linear processes," Journal of Multivariate Analysis, Elsevier, vol. 101(10), pages 2320-2345, November.
- Efstathios Paparoditis & Dimitris N. Politis, 2003. "Residual-Based Block Bootstrap for Unit Root Testing," Econometrica, Econometric Society, vol. 71(3), pages 813-855, May.
More about this item
KeywordsHybrid bootstrap; Sieve bootstrap; Unit root testing; ADF tests;
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