Bootstrapping unit root tests for integrated processes

By Anders Rygh Swensen. 2003

55 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/5443dcedba3f5a772d2cb8f6c872e7dd34b70133

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Anders Rygh Swensen
2. Martin Wagner
3. Jaroslava Hlouskova

In Statistics and Probability

1. Anders Rygh Swensen

Citations in the corpus

• Bootstrap Unit‐Root Tests: Comparison and Extensions (2008, unknown): “…or Augmented Dickey–Fuller (ADF), based either on residuals from an autoregression and the use of the block bootstrap (Paparoditis and Politis, 2003) or on first-differenced data and the use of the stationary bootstrap (Swensen, 2003a) or sieve bootstrap (Psaradakis, 2001; Chang and Park, 2003).”
• Bootstrap algorithms for testing and determining the cointegration rank in VAR models (2006, background): “This is explained in more detail for the one-dimensional case in Swensen (2003).”