ARMA Sieve bootstrap unit root tests
Augmented Dickey-Fuller unit root tests may severely overreject when the DGP is a general linear process. The use of the AR sieve bootstrap, proposed by Park (2002) and Chang and Park (2003), may alleviate this problem. We propose sieve bootstraps based on MA and ARMA approximations. Invariance principles for the partial sum processes built from these sieve bootstrap DGPs are established and a proof of the asymptotic validity of the resulting ADF bootstrap tests is provided. Through Monte Carlo experiments, we find that the rejection probabilities of the MA and ARMA sieve bootstraps are often lower and more robust to the underlying DGP than that of the AR sieve bootstrap. In particular, the new sieve bootstraps perform much better than the AR sieve when a large MA root is present. We also find that the ARMA sieve bootstrap requires only a very parsimonious specification to achieve excellent results.
|Date of creation:||2007|
|Date of revision:||Jul 2009|
|Contact details of provider:|| Postal: Sherbrooke, Québec, J1K 2R1|
Phone: (819) 821-7233
Fax: (819) 821-6930
Web page: http://www.gredi.org/home/documents-de-travail
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Donald W.K. Andrews, 2002.
"The Block-block Bootstrap: Improved Asymptotic Refinements,"
Cowles Foundation Discussion Papers
1370, Cowles Foundation for Research in Economics, Yale University.
- Donald W. K. Andrews, 2004. "the Block-Block Bootstrap: Improved Asymptotic Refinements," Econometrica, Econometric Society, vol. 72(3), pages 673-700, 05.
- Abadir, Karim M., 1995.
"The Limiting Distribution of the t Ratio Under a Unit Root,"
Cambridge University Press, vol. 11(04), pages 775-793, August.
- Abadir, K.M., 1992. "The Limiting Distribution of the T Ratio Under a Unit Root," Papers 1992-2, American Cairo - Economics and Political Sciences.
- Yoosoon Chang & Joon Park, 2002. "On The Asymptotics Of Adf Tests For Unit Roots," Econometric Reviews, Taylor & Francis Journals, vol. 21(4), pages 431-447.
- Russell Davidson & James G. MacKinnon, 1994.
"Graphical Methods for Investigating the Size and Power of Hypothesis Tests,"
903, Queen's University, Department of Economics.
- Davidson, Russell & MacKinnon, James G, 1998. "Graphical Methods for Investigating the Size and Power of Hypothesis Tests," The Manchester School of Economic & Social Studies, University of Manchester, vol. 66(1), pages 1-26, January.
- Russell Davidson & James Mackinnon, 2006.
"Improving the reliability of bootstrap tests with the fast double bootstrap,"
- Davidson, Russell & MacKinnon, James G., 2007. "Improving the reliability of bootstrap tests with the fast double bootstrap," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
- Russell Davidson & James G. MacKinnon, 2006. "Improving the Reliability of Bootstrap Tests with the Fast Double Bootstrap," Working Papers 1044, Queen's University, Department of Economics.
- Joon Y. Park, 2000.
"Bootstrap Unit Root Tests,"
Econometric Society World Congress 2000 Contributed Papers
1587, Econometric Society.
- repec:rus:hseeco:4965 is not listed on IDEAS
- 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, 07.
- Park, Joon Y., 2002. "An Invariance Principle For Sieve Bootstrap In Time Series," Econometric Theory, Cambridge University Press, vol. 18(02), pages 469-490, April.
- repec:cup:etheor:v:11:y:1995:i:4:p:775-93 is not listed on IDEAS
- Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N., 2006. "Unit root testing via the stationary bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 601-638, August.
When requesting a correction, please mention this item's handle: RePEc:shr:wpaper:07-05. 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: (Luc Savard)
If references are entirely missing, you can add them using this form.