Unit root testing via the stationary bootstrap

Parker, Cameron; Paparoditis, Efstathios; Politis, Dimitris N.

doi:10.1016/j.jeconom.2005.06.008

Cited by 60 publications

(59 citation statements)

References 20 publications

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“…The results for the same ARMA process are given in tables 5 and 8 of Parker, Paparoditis, and Politis (2006). Notice the RTB gives values significantly closer to nominal value under the null and rejects more often under the alternative.…”

Section: Simulationsmentioning

confidence: 92%

“…There are many such tests in the literature; see for example Fuller (1996), Dickey and Fuller (1979), Dickey, Bell, and Miller (1986) and Phillips and Perron (1988). More recently in Swensen (2003), Paparoditis and Politis (2003) and Parker, Paparoditis, and Politis (2006), bootstrap-based tests for a unit root were proposed. The latter two papers use a bootstrap procedure (block and stationary bootstraps respectively) on the residuals, while the former applies the stationary bootstrap on the differenced series.…”

Section: Introduction and Notationmentioning

confidence: 99%

See 1 more Smart Citation

Tapered Block Bootstrap for Unit Root Testing

Parker¹,

Paparoditis²,

Politis³

2015

Journal of Time Series Econometrics

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A new bootstrap procedure for unit root testing based on the tapered block bootstrap is introduced. This procedure is similar to previous tests that were based on the block bootstrap and stationary bootstrap, but it has the advantage of the tapering procedure that has been previously shown to reduce the bias of the variance estimator by an order of magnitude. In this paper, the procedure is defined including a specific data-driven method for choosing the block size. Both theoretical results for the asymptotic behavior of the test as well as simulations which address the small sample properties and are used for comparison to other methods are given.

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Section: Simulationsmentioning

confidence: 92%

Section: Introduction and Notationmentioning

confidence: 99%

Tapered Block Bootstrap for Unit Root Testing

Parker¹,

Paparoditis²,

Politis³

2015

Journal of Time Series Econometrics

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“…Swensen (2003a) considers two DF (coefficient and t) bootstrap tests based on differences; one uses the sieve bootstrap, and one the stationary bootstrap. Parker, Paparoditis, and Politis (2006) propose a stationary DF test based on residuals. Paparoditis and Politis (2005) and Palm, Smeekes, and Urbain (2006) propose residual-based sieve bootstrap tests 1 for both DF and ADF statistics.…”

Section: Currently Available Testsmentioning

confidence: 99%

“…However, when conducting unit root tests in practice, one will often want to include an intercept and possibly a linear time trend in the regression. Psaradakis (2001), Paparoditis and Politis (2003) and Parker et al (2006) explicitly discuss deterministic components and show the validity of their tests for these situations.…”

Section: Validity Of the Testsmentioning

confidence: 99%

Detrending Bootstrap Unit Root Tests

Smeekes¹

2013

Econometric Reviews

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“…Standard CLT versions of the stationary bootstrapping can be found in Politis and Romano (1994) and Hwang and Shin (2012), where the asymptotic validity of the stationary bootstrapping was shown in view of the weak and strong consistency, respectively. Functional CLTs for stationary bootstrapping are established under strong mixing by Paparoditis and Politis (2003) and Parker et al (2006) in terms of unit root tests.…”

Section: Introductionmentioning

confidence: 99%