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Bootstrap M Unit Root Tests

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References

1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root14,647 cited
1991Conditional Heteroskedasticity in Asset Returns: A New Approach10,268 cited
1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
1989The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis7,685 cited
1996Efficient Tests for an Autoregressive Unit Root5,637 cited
1992Efficient Tests for an Autoregressive Unit Root4,234 cited
2001LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power3,944 cited
1984Testing for Unit Roots in Autoregressive-Moving Average Models of Unknown Order3,426 cited
2000Sample Splitting and Threshold Estimation2,901 cited
1987Time Series Regression with a Unit Root2,821 cited
1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’2,308 cited
1996Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis2,282 cited
1988Tests For Unit Roots: A Monte Carlo Investigation1,244 cited

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1990Testing for a Unit Root in a Time Series With a Changing Mean1,180 cited

1989Tests for Unit Roots: A Monte Carlo Investigation645 cited

Cited by

2017Unit Root Testing with Unstable Volatility33 cited
2011BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY33 cited
2014Lag Length Selection for Unit Root Tests in the Presence of Nonstationary Volatility31 cited
2011TESTING FOR UNIT ROOTS IN THE PRESENCE OF A POSSIBLE BREAK IN TREND AND NONSTATIONARY VOLATILITY28 cited
2019Unit Roots and Cointegration26 cited
2013Detrending Bootstrap Unit Root Tests25 cited
2013Does Purchasing Power Parity hold? New evidence from wild-bootstrapped nonlinear unit root tests in the presence of heteroskedasticity24 cited
2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS22 cited
2013A HYBRID BOOTSTRAP APPROACH TO UNIT ROOT TESTS18 cited
2018BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORS17 cited
2014A multivariate invariance principle for modified wild bootstrap methods with an application to unit root testing17 cited