| dc.contributor.author | Parker, C. | en |
| dc.contributor.author | Paparoditis Efstathios, E. | en |
| dc.contributor.author | Politis, Dimitris Nicolas | en |
| dc.creator | Parker, C. | en |
| dc.creator | Paparoditis Efstathios, E. | en |
| dc.creator | Politis, Dimitris Nicolas | en |
| dc.date.accessioned | 2019-12-02T10:37:41Z | |
| dc.date.available | 2019-12-02T10:37:41Z | |
| dc.date.issued | 2006 | |
| dc.identifier.uri | http://gnosis.library.ucy.ac.cy/handle/7/57471 | |
| dc.description.abstract | 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. Unlike many others in the literature, the proposed test is valid for a wide class of weakly dependent processes and is not based on parametric assumptions on the data-generating process. Large sample theory is developed and asymptotic validity is shown via a bootstrap functional central limit theorem. The case of a least squares statistic is discussed in detail, including simulations to investigate the procedure's finite sample performance. © 2005 Elsevier B.V. All rights reserved. | en |
| dc.source | Journal of Econometrics | en |
| dc.source.uri | https://www.scopus.com/inward/record.uri?eid=2-s2.0-33745889053&doi=10.1016%2fj.jeconom.2005.06.008&partnerID=40&md5=550de790b046c2de6a3fed196aa52c29 | |
| dc.subject | Computer simulation | en |
| dc.subject | Unit root testing | en |
| dc.subject | Autocorrelation | en |
| dc.subject | Statistical tests | en |
| dc.subject | Asymptotic stability | en |
| dc.subject | Parameter estimation | en |
| dc.subject | Finite element method | en |
| dc.subject | Correlation methods | en |
| dc.subject | Resampling | en |
| dc.subject | Integrated time series | en |
| dc.subject | Stationary bootstrap | en |
| dc.title | Unit root testing via the stationary bootstrapAAA | en |
| dc.type | info:eu-repo/semantics/article | |
| dc.identifier.doi | 10.1016/j.jeconom.2005.06.008 | |
| dc.description.volume | 133 | |
| dc.description.issue | 2 | |
| dc.description.startingpage | 601 | |
| dc.description.endingpage | 638 | |
| dc.author.faculty | Σχολή Θετικών και Εφαρμοσμένων Επιστημών / Faculty of Pure and Applied Sciences | |
| dc.author.department | Τμήμα Μαθηματικών και Στατιστικής / Department of Mathematics and Statistics | |
| dc.type.uhtype | Article | en |
| dc.description.notes | <p>Cited By :36</p> | en |
| dc.source.abbreviation | J Econom | en |
| dc.contributor.orcid | Paparoditis Efstathios, E. [0000-0003-1958-781X] | |
| dc.gnosis.orcid | 0000-0003-1958-781X | |
