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Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions

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  • Xiaorong Yang

Abstract

In this paper, a bootstrap test based on the least absolute deviation (LAD) estimation for the unit root test in first-order autoregressive models with dependent residuals is considered. The convergence in probability of the bootstrap distribution function is established. Under the frame of dependence assumptions, the asymptotic behavior of the bootstrap LAD estimator is independent of the covariance matrix of the residuals, which automatically approximates the target distribution.

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  • Xiaorong Yang, 2015. "Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(6), pages 1332-1347, June.
    • Handle: RePEc:taf:japsta:v:42:y:2015:i:6:p:1332-1347
    DOI: 10.1080/02664763.2014.999652
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