Linear process bootstrap unit root test
Nan Zou and
Dimitris N. Politis
Statistics & Probability Letters, 2019, vol. 145, issue C, 74-80
One of the most widely applied unit root tests suffers from size distortions when moving average noise exists. As a remedy, this paper proposes a bootstrap test targeting moving average noise and shows its effectiveness in both theory and simulation.
Keywords: Integrated time series; Size distortion; Resampling; Functional central limit theorem (search for similar items in EconPapers)
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