Bootstrap Unit Root Tests for Heavy-Tailed Time Series

Piotr Kokoszka () and Andrejus Parfionovas ()
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Piotr Kokoszka: Utah State University, Mathematics and Statistics
Andrejus Parfionovas: Utah State University, Mathematics and Statistics

Chapter 5 in Handbook of Computational and Numerical Methods in Finance, 2004, pp 175-195 from Springer

Abstract: Abstract We explore the applicability of bootstrap unit root tests to time series with heavy-tailed errors. The size and power of the tests are investigated using simulated data. Applications to financial time series are also presented. Two different bootstrap methods and the subsampling approach are compared. Conclusions on the optimal bootstrap parameters, the range of applicability, and the performance of the tests are presented.

Keywords: Unit Root; Unit Root Test; Null Distribution; Yield Curve; Bootstrap Test (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-8176-8180-7_5

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DOI: 10.1007/978-0-8176-8180-7_5

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