Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test

Zhenxin Wang, Shaoping Wang () and Yayi Yan
Additional contact information
Zhenxin Wang: Huazhong University of Science and Technology
Shaoping Wang: Huazhong University of Science and Technology
Yayi Yan: Shanghai University of Finance and Economics

Computational Economics, 2024, vol. 64, issue 6, No 2, 3205 pages

Abstract: Abstract This paper extends the fixed-b Phillips–Perron unit root test, namely PP(fb), by using a sieve bootstrap method to deal with serial-correlated errors, especially negative moving average errors. We derive the asymptotic distribution of the proposed $$\mathrm {PP^b(fb)}$$ PP b ( fb ) test statistics. Our simulation results show that the $$\mathrm {PP^b(fb)}$$ PP b ( fb ) test substantially improves the size performance without losing power when the error innovations have negative autoregressive or moving average components. Applying the $$\mathrm {PP^b(fb)}$$ PP b ( fb ) test to both the inflation rates in the U.S. and the Chinese stock market index, we find that the inflation follows a random walk process, just as the Chinese stock market does.

Keywords: Fixed-b asymptotics; Inflation rate; Phillips–perron unit-root test; Serial correlations; Sieve bootstrap (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
Date: 2024
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1007/s10614-024-10553-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10553-0

Ordering information: This journal article can be ordered from
http://www.springer. ... ry/journal/10614/PS2

DOI: 10.1007/s10614-024-10553-0

Access Statistics for this article

Computational Economics is currently edited by Hans Amman

More articles in Computational Economics from Springer, Society for Computational Economics Contact information at EDIRC.
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().