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A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS
Author(s) -
Li Guodong,
Leng Chenlei,
Tsai ChihLing
Publication year - 2014
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/jtsa.12019
Subject(s) - mathematics , heteroscedasticity , unit root , least absolute deviations , unit root test , series (stratigraphy) , residual , statistics , monte carlo method , bootstrap aggregating , econometrics , algorithm , regression , paleontology , cointegration , biology
This article proposes a hybrid bootstrap approach to approximate the augmented Dickey–Fuller test by perturbing both the residual sequence and the minimand of the objective function. Since innovations can be dependent, this allows the inclusion of conditional heteroscedasticity models. The new bootstrap method is also applied to least absolute deviation‐based unit root test statistics, which are efficient in handling heavy‐tailed time‐series data. The asymptotic distributions of resulting bootstrap tests are presented, and Monte Carlo studies demonstrate the usefulness of the proposed tests.