Bootstrapping Unit Root Ar(1) Models
Author | : Nélida E. Ferretti |
Publisher | : |
Total Pages | : 11 |
Release | : 1992 |
Genre | : Autoregression (Statistics) |
ISBN | : |
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Author | : Nélida E. Ferretti |
Publisher | : |
Total Pages | : 11 |
Release | : 1992 |
Genre | : Autoregression (Statistics) |
ISBN | : |
Author | : Juan Romo |
Publisher | : |
Total Pages | : 34 |
Release | : 1993 |
Genre | : |
ISBN | : |
Author | : Nélida Ferretti |
Publisher | : |
Total Pages | : 34 |
Release | : 1993 |
Genre | : Autoregression (Statistics) |
ISBN | : |
Author | : In Choi |
Publisher | : Cambridge University Press |
Total Pages | : 301 |
Release | : 2015-05-12 |
Genre | : Business & Economics |
ISBN | : 1107097339 |
Many economic theories depend on the presence or absence of a unit root for their validity, making familiarity with unit roots extremely important to econometric and statistical theory. This book introduces the literature on unit roots in a comprehensive manner to empirical and theoretical researchers in economics and other areas.
Author | : G. S. Maddala |
Publisher | : Cambridge University Press |
Total Pages | : 528 |
Release | : 1998 |
Genre | : Business & Economics |
ISBN | : 9780521587822 |
A comprehensive review of unit roots, cointegration and structural change from a best-selling author.
Author | : Yoosoon Chang |
Publisher | : |
Total Pages | : 0 |
Release | : 2003 |
Genre | : |
ISBN | : |
In this paper, we consider a sieve bootstrap for the test of a unit root in models driven by general linear processes. The given model is first approximated by a finite autoregressive integrated process of order increasing with the sample size, and then the method of bootstrap is applied for the approximated autoregression to obtain the critical values for the usual unit root tests. The resulting tests, which may simply be viewed as the bootstrapped versions of Augmented Dickey-Fuller (ADF) unit root tests by Said and Dickey (1984), are shown to be consistent under very general conditions. The asymptotic validity of the bootstrap ADF unit root tests is thus established. Our conditions are significantly weaker than those used by Said and Dickey. Simulations show that bootstrap provides substantial improvements on finite sample sizes of the tests.
Author | : K. Patterson |
Publisher | : Springer |
Total Pages | : 676 |
Release | : 2011-02-25 |
Genre | : Business & Economics |
ISBN | : 023029930X |
Testing for a unit root is now an essential part of time series analysis. This volume provides a critical overview and assessment of tests for a unit root in time series, developing the concepts necessary to understand the key theoretical and practical models in unit root testing.
Author | : Corrado Gini |
Publisher | : |
Total Pages | : 484 |
Release | : 2002 |
Genre | : Statistics |
ISBN | : |
Includes list of publications received.
Author | : Jörgen Hellström |
Publisher | : |
Total Pages | : 6 |
Release | : 2001 |
Genre | : |
ISBN | : |
Author | : Jörgen Hellström |
Publisher | : |
Total Pages | : 0 |
Release | : 2009 |
Genre | : |
ISBN | : |
We focus on the testing of a unit root in the integer-valued autoregression of order one. Finite sample distributions for a Dickey-Fuller test of a random walk with drift with Poisson distributed and, hence, skewed errors are obtained by Monte Carlo simulation.