Tapered Block Bootstrap for Unit Root Testing

Parker Cameron C. (), Paparoditis Efstathios () and Politis Dimitris ()
Additional contact information
Parker Cameron C.: Department of Mathematics and Computer Science, University of San Diego, 5998 Alcala Park, San Diego, CA 92110, USA
Paparoditis Efstathios: Department of Mathematics and Statistics, University of Cyprus, Nicosia, Cyprus
Politis Dimitris: Department of Mathematics, University of California, San Diego, CA, USA

Journal of Time Series Econometrics, 2015, vol. 7, issue 1, 37-67

Abstract: A 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.

Keywords: integrated time series; tapered block bootstrap; unit root testing; resampling (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/jtse-2013-0033 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:jtsmet:v:7:y:2015:i:1:p:31:n:4

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/jtse/html

DOI: 10.1515/jtse-2013-0033

Access Statistics for this article

Journal of Time Series Econometrics is currently edited by Javier Hidalgo

More articles in Journal of Time Series Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().