Residual‐based block bootstrap unit root testing in the presence of trend breaks

2005 ◽  
Vol 8 (3) ◽  
pp. 323-351
Author(s):  
Evangelos E. Ioannidis
Keyword(s):  
Unit Root ◽  
Block Bootstrap ◽  
Unit Root Testing ◽  
Trend Breaks

scholarly journals Tapered Block Bootstrap for Unit Root Testing

2015 ◽  
Vol 7 (1) ◽  
Author(s):  
Cameron C. Parker ◽  
Efstathios Paparoditis ◽  
Dimitris Politis
Keyword(s):  
Unit Root ◽  
Block Size ◽  
Small Sample ◽  
Block Bootstrap ◽  
Specific Data ◽  
Unit Root Testing ◽  
Stationary Bootstrap ◽  
Order Of Magnitude ◽  
Small Sample Properties ◽  
Theoretical Results

AbstractA 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 and simulations that address the small-sample properties and are used for comparison to other methods are given.

On Trend Breaks and Initial Condition in Unit Root Testing

2017 ◽  
Vol 10 (1) ◽  
Author(s):  
Anton Skrobotov
Keyword(s):  
Unit Root ◽  
Initial Conditions ◽  
Initial Condition ◽  
Testing Strategies ◽  
Unit Root Testing ◽  
Trend Breaks

AbstractRecent approaches in unit root testing have taken into account the influences of initial conditions and data trend breaks via pre-testing and union of rejection testing strategies. This paper reviews existing methods, extends the methods of (Harvey, D. I., S. J. Leybourne, and A. M. R. Taylor. 2012b. “Unit Root Testing under a Local Break in Trend.”

Residual-Based Block Bootstrap for Unit Root Testing

Econometrica ◽  
2003 ◽  
Vol 71 (3) ◽  
pp. 813-855 ◽  
Author(s):  
Efstathios Paparoditis ◽  
Dimitris N. Politis
Keyword(s):  
Unit Root ◽  
Block Bootstrap ◽  
Unit Root Testing
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