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A Hybrid Bootstrap Approach To Unit Root Tests
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Book Synopsis A Hybrid Bootstrap Approach to Unit Root Tests by : Chenlei Leng
Download or read book A Hybrid Bootstrap Approach to Unit Root Tests written by Chenlei Leng and published by . This book was released on 2014 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This article proposes a hybrid bootstrap approach to approximate the augmented Dickey-Fuller test by perturbing both the residual sequence and the minimand of the objective function. Since innovations can be dependent, this allows the inclusion of conditional heteroscedasticity models. The new bootstrap method is also applied to least absolute deviation-based unit root test statistics, which are efficient in handling heavy-tailed time-series data. The asymptotic distributions of resulting bootstrap tests are presented, and Monte Carlo studies demonstrate the usefulness of the proposed tests.
Book Synopsis Bootstrapping Covariate Unit Root Tests by : Cheng-Feng Lee
Download or read book Bootstrapping Covariate Unit Root Tests written by Cheng-Feng Lee and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper proposes a bootstrap procedure for the covariate point optimal tests (CP) of Elliott and Jansson. Although the covariate tests enjoy large power gains over the traditional univariate unit root tests, our simulations show that they still suffer from severe size distortions at finite samples. Through simulations, we demonstrate the superiority of the bootstrap procedure in the sense that it can yield desirable size and power properties for the CP tests when the Akaike's information criterion is used. Moreover, we show the empirical relevance of the bootstrap tests by applying them to inflation in the G-10 countries, and then obtain strong evidence against the unit root hypothesis for most countries at the 5% significance level.
Book Synopsis Bootstrapping Unit Root Tests by : Anders Rygh Swensen
Download or read book Bootstrapping Unit Root Tests written by Anders Rygh Swensen and published by . This book was released on 2000 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Block Bootstrap Methods for Unit Root Testing by : Cameron Christopher Parker
Download or read book Block Bootstrap Methods for Unit Root Testing written by Cameron Christopher Parker and published by . This book was released on 2003 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis A Sieve Bootstrap for the Test of a Unit Root by : Yoosoon Chang
Download or read book A Sieve Bootstrap for the Test of a Unit Root written by Yoosoon Chang and published by . This book was released on 2003 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.
Book Synopsis Bootstrap Model Averaging Unit Root Inference by : Bruce Hansen
Download or read book Bootstrap Model Averaging Unit Root Inference written by Bruce Hansen and published by . This book was released on 2018 with total page 21 pages. Available in PDF, EPUB and Kindle. Book excerpt: Classical unit root tests are known to suffer from potentially crippling size distortions, and a range of procedures have been proposed to attenuate this problem, including the use of bootstrap procedures. It is also known that the estimating equation's functional form can affect the outcome of the test, and various model selection procedures have been proposed to overcome this limitation. In this paper, we adopt a model averaging procedure to deal with model uncertainty at the testing stage. In addition, we leverage an automatic model-free dependent bootstrap procedure where the null is imposed by simple differencing (the block length is automatically determined using recent developments for bootstrapping dependent processes). Monte Carlo simulations indicate that this approach exhibits the lowest size distortions among its peers in settings that confound existing approaches, while it has superior power relative to those peers whose size distortions do not preclude their general use. The proposed approach is fully automatic, and there are no nuisance parameters that have to be set by the user, which ought to appeal to practitioners.
Download or read book Bootstrap Unit Root Tests written by and published by . This book was released on 2018 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: Bootstrap -- Dependent data -- Dickey-Fuller test -- Stationarity -- Unit root tests.
Book Synopsis Sieve Bootstrap Based Prediction Intervals and Unit Root Tests for Time Series by : Maduka Nilanga Rupasinghe
Download or read book Sieve Bootstrap Based Prediction Intervals and Unit Root Tests for Time Series written by Maduka Nilanga Rupasinghe and published by . This book was released on 2012 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The application of the sieve bootstrap procedure, which resamples residuals obtained by fitting a finite autoregressvie (AR) approximation to empirical time series, to obtaining prediction intervals for integrated, long-memory, and seasonal time series as well as constructing a test for seasonal unit roots, is considered. The advantage of this resampling method is that it does not require knowledge about the underlying process generating a given time series and has been shown to work well for ARMA processes. We extend the application of the sieve bootstrap to ARIMA and FARIMA processes. The asymptotic properties of the sieve bootstrap prediction intervals for such processes are established, and the finite sample properties are examined by employing Monte Carlo simulations. The Monte Carlo simulation study shows that the proposed method works well for both ARIMA and FARIMA processes. Following the existing sieve bootstrap frame-work for testing unit roots for nonseasonal processes, we propose new bootstrap-based unit root tests for seasonal time series. In this procedure, the bootstrap distributions of the well known Dickey-Hasza-Fuller (DHF) seasonal test statistics are obtained and utilized to determine the critical points for the test. The asymptotic properties of the proposed method are established and a Monte Carlo simulation study is employed to demonstrate that the proposed unit root tests yield higher powers compared to the DHF test. Also, a sieve bootstrap method is implemented to obtaining prediction intervals for time series with seasonal unit roots. The asymptotic properties of the proposed prediction intervals are established and a Monte Carlo simulation study is carried out to examine the finite sample validity. Finally, we derive expressions for the asymptotic distributions of the Dickey-Fuller (DHF) type test statistics, under weakly dependent errors and show that they can be expressed as functional of the standard Brownian motions. Currently, the asymptotic results are available only for non-seasonal time series"--Abstract, leaf v
Book Synopsis Bootstrap Unit-Root Tests by : Franz C. Palm
Download or read book Bootstrap Unit-Root Tests written by Franz C. Palm and published by . This book was released on 2008 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study leads to the following conclusions: (i) augmented DF tests are always preferred to standard DF tests; (ii) the sieve bootstrap performs better than the block bootstrap; (iii) difference-based tests appear to have slightly better size properties, but residual-based tests appear more powerful. We show that two sieve bootstrap tests based on residuals remain asymptotically valid. In contrast to the literature which focuses on a comparison of the bootstrap tests with an asymptotic test, we compare the bootstrap tests among themselves using response surfaces for their size and power in a simulation study. In this article, we study and compare the properties of several bootstrap unit-root tests recently proposed in the literature. The tests are Dickey Fuller (DF) or Augmented DF, based either on residuals from an auto-regression and the use of the block bootstrap or on first-differenced data and the use of the stationary bootstrap or sieve bootstrap. We extend the analysis by interchanging the data transformations (differences vs. residuals), the types of bootstrap and the presence or absence of a correction for autocorrelation in the tests. We show that two sieve bootstrap tests based on residuals remain asymptotically valid. In contrast to the literature which focuses on a comparison of the bootstrap tests with an asymptotic test, we compare the bootstrap tests among themselves using response surfaces for their size and power in a simulation study. This study leads to the following conclusions: (i) augmented DF tests are always preferred to standard DF tests; (ii) the sieve bootstrap performs better than the block bootstrap; (iii) difference-based tests appear to have slightly better size properties, but residual-based tests appear more powerful.
Book Synopsis Bootstrap Unit Root Tests for Heavy-tailed Observations by : Andrejus Parfionovas
Download or read book Bootstrap Unit Root Tests for Heavy-tailed Observations written by Andrejus Parfionovas and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis The Routledge Handbook of Agricultural Economics by : Gail L. Cramer
Download or read book The Routledge Handbook of Agricultural Economics written by Gail L. Cramer and published by Routledge. This book was released on 2018-07-23 with total page 1026 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Handbook offers an up-to-date collection of research on agricultural economics. Drawing together scholarship from experts at the top of their profession and from around the world, this collection provides new insights into the area of agricultural economics. The Routledge Handbook of Agricultural Economics explores a broad variety of topics including welfare economics, econometrics, agribusiness, and consumer economics. This wide range reflects the way in which agricultural economics encompasses a large sector of any economy, and the chapters present both an introduction to the subjects as well as the methodology, statistical background, and operations research techniques needed to solve practical economic problems. In addition, food economics is given a special focus in the Handbook due to the recent emphasis on health and feeding the world population a quality diet. Furthermore, through examining these diverse topics, the authors seek to provide some indication of the direction of research in these areas and where future research endeavors may be productive. Acting as a comprehensive, up-to-date, and definitive work of reference, this Handbook will be of use to researchers, faculty, and graduate students looking to deepen their understanding of agricultural economics, agribusiness, and applied economics, and the interrelationship of those areas.
Book Synopsis Sieve Bootstrap Unit Root Tests by : Patrick Richard
Download or read book Sieve Bootstrap Unit Root Tests written by Patrick Richard and published by . This book was released on 2007 with total page 370 pages. Available in PDF, EPUB and Kindle. Book excerpt: "We consider the use of a sieve bootstrap based on moving average (MA) and autoregressive moving average (ARMA) approximations to test the unit root hypothesis when the true Data Generating Process (DGP) is a general linear process. We provide invariance principles for these bootstrap DGPs and we prove that the resulting ADF tests are asymptotically valid. Our simulations indicate that these tests sometimes outperform those based on the usual autoregressive (AR) sieve bootstrap. We study the reasons for the failure of the AR sieve bootstrap tests and propose some solutions, including a modified version of the fast double bootstrap." --
Book Synopsis Bootstrapping Unit Root Tests by : D. De Angelis
Download or read book Bootstrapping Unit Root Tests written by D. De Angelis and published by . This book was released on 1994 with total page 13 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bootstrap Tests for Unit Root and Seasonal Unit Root by : Nan Zou
Download or read book Bootstrap Tests for Unit Root and Seasonal Unit Root written by Nan Zou and published by . This book was released on 2017 with total page 88 pages. Available in PDF, EPUB and Kindle. Book excerpt: Unit root process, as a process with stochastic trend and a generalization from random walk, is pervasive in physics, economics, and finance. In the hypothesis test for unit root, bootstrap methods have earned a great deal of attention. This dissertation proposes and investigates various bootstrap unit root tests. Chapter one applies linear process bootstrap to unit root test in order to alleviate the size distortions of unit root tests. While Chapter one focuses on classic unit root tests, which search for stochastic trend, Chapter two tackles seasonal unit root tests, which simultaneously check stochastic trend and stochastic seasonality. In addition, Chapter two takes into consideration seasonal heterogeneity, which pervades in seasonal processes. Specifically, Chapter two offers under seasonal heterogeneity a seasonal AR-sieve bootstrap remedy for a parametric seasonal unit root test and advocates a seasonal block bootstrap solution for a non-parametric test. This dissertation then establishes three bootstrap functional central limit theorems, via which this dissertation shows the consistency of all the aforementioned bootstrap methods.
Book Synopsis Bootstrap Unit Root Tests in Panels with Cross-sectional Dependency by : Yoosoon Chang
Download or read book Bootstrap Unit Root Tests in Panels with Cross-sectional Dependency written by Yoosoon Chang and published by . This book was released on 2000 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bootstrapping Seasonal Unit Root Tests by : P. Burridge
Download or read book Bootstrapping Seasonal Unit Root Tests written by P. Burridge and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Unit Root Testing Via the Continuous-path Block Bootstrap by : Efstathios Paparoditis
Download or read book Unit Root Testing Via the Continuous-path Block Bootstrap written by Efstathios Paparoditis and published by . This book was released on 2001 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:
