Πλοήγηση ανά Θέμα "Unit root testing"

Αποτελέσματα 1-7 από 7

    • Article  

      Hybrid bootstrap aided unit root testing 

      Jentsch, C.; Kreiss, J. -P; Mantalos, Panagiotis; Paparoditis Efstathios, E. (2012)
      In this paper, we propose a hybrid bootstrap procedure for augmented Dickey-Fuller (ADF) tests for the presence of a unit root. This hybrid proposal combines a time domain parametric autoregressive fit to the data and a ...
    • Article  

      Residual-based block bootstrap for unit root testing 

      Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2003)
      A nonparametric, residual-based block boostrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of ...
    • Article  

      Residual-based block bootstrap for unit root testingAAA 

      Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2003)
      A nonparametric, residual-based block boostrap procedure is proposed in the context of testing for integrated (unit root) time series. The resampling procedure is based on weak assumptions on the dependence structure of ...
    • Article  

      Statistical Adequacy and the Testing of Trend Versus Difference Stationarity 

      Andreou, Elena; Spanos, Aris (2003)
      The debate on whether macroeconomic series are trend or difference stationary, initiated by Nelson and Plosser [Nelson, C. R.
    • Article  

      TFT-bootstrap: Resampling time series in the frequency domain to obtain replicates in the time domain 

      Kirch, C.; Politis, Dimitris Nicolas (2011)
      A new time series bootstrap scheme, the time frequency toggle (TFT)- bootstrap, is proposed. Its basic idea is to bootstrap the Fourier coefficients of the observed time series, and then to back-transform them to obtain a ...
    • Article  

      Unit root testing via the stationary bootstrap 

      Parker, C.; Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2006)
      A nonparametric, residual-based stationary bootstrap procedure is proposed for unit root testing in a time series. The procedure generates a pseudoseries which mimics the original, but ensures the presence of a unit root. ...
    • Article  

      Unit root testing via the stationary bootstrapAAA 

      Parker, C.; Paparoditis Efstathios, E.; Politis, Dimitris Nicolas (2006)
      A nonparametric, residual-based stationary bootstrap procedure is proposed for unit root testing in a time series. The procedure generates a pseudoseries which mimics the original, but ensures the presence of a unit root. ...