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A bootstrap approximation to a unit root test statistic for heavy-tailed observations · Study

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ArticleA bootstrap approximation to a unit root test statistic for heavy-tailed observations

Lajos H. Horvath2003

Article2003

A bootstrap approximation to a unit root test statistic for heavy-tailed observations

Lajos H. Horvath · Piotr S. Kokoszka

40 citations·0/0 files stored·Statistics & Probability Letters

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Monetary Policy and Economic Impact Complex Systems and Time Series Analysis Diverse Scientific and Economic Studies

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References

2000Stable Paretian Models in Finance 1998A Primer on Unit Root Testing 2003Residual-Based Block Bootstrap for Unit Root Testing

Cited by

2003ASYMPTOTICS FOR GENERAL FRACTIONALLY INTEGRATED PROCESSES WITH APPLICATIONS TO UNIT ROOT TESTS 2012Bootstrap testing multiple changes in persistence for a heavy-tailed sequence 2009A Note on Unit Root Tests with Infinite Variance Noise 2018UNIT ROOT INFERENCE FOR NON-STATIONARY LINEAR PROCESSES DRIVEN BY INFINITE VARIANCE INNOVATIONS 2004Subsampling Unit Root Tests for Heavy-Tailed Observations 2011Unit root bootstrap tests under infinite variance 2016Detection and estimation of structural change in heavy-tailed sequence

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2004Subsampling Unit Root Tests for Heavy-Tailed Observationsarticle · 3 shared references 2009HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOTarticle · 2 shared references 2008Improving Size and Power in the Unit Root Testingpreprint · 2 shared references 2009Bootstrap M Unit Root Testsarticle · 2 shared references 2007Semiparametric Power Envelopes for Tests of the Unit Root Hypothesispreprint · 2 shared references 2018BOOTSTRAP-ASSISTED UNIT ROOT TESTING WITH PIECEWISE LOCALLY STATIONARY ERRORSarticle · 2 shared references

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Year2003

Typearticle

Published2003-02-12

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations40

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0167-7152(03)00007-5

openalex_workW2085325849

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