A Sieve Bootstrap For The Test Of A Unit Root

By Yoosoon Chang, Joon Y. Park. 2003

178 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/95414183fe98a5447869d72f537a2605f2618860

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Citations in the corpus

BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP (2011, methodology): “We use the following notation for the bootstrap asymptotics (see Chang and Park (2003) for similar notation and for several useful bootstrap asymptotic properties).”
Residual‐Based Block Bootstrap for Unit Root Testing (2003, methodology): “Remark 2.3: The quantity ̃n appearing in equation (2.1) is an appropriately chosen consistent estimator of the parameter based on the data X1 X2 Xn .”
UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP (2008, unknown): “UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP”
Bootstrapping Unit Root Tests for Autoregressive Time Series (2005, methodology): “…AR sieve bootstrap approach has been established in the literature only under the assumption that the null hypothesis is correct; that is, only under the assumption that the observed series is indeed unit root integrated and satisfies Assumption (B1)(a) (see Chang and Park 2003; Psaradakis 2001).”
Bootstrap Hypothesis Testing (2007, methodology): “It has recently been applied to unit root testing in Park (2003) and Chang and Park (2003), and it seems to work quite well in many cases. Another approach that is more in the spirit of resampling and imposes fewer assumptions is the block bootstrap, originally proposed in Künsch (1989). The idea is”
Testing for unit roots in bounded time series (2014, background): “As in Ferretti and Romo (1996), Chang and Park (2003) and Cavaliere and Taylor (2009), inter alia, this involves re-building stationary serial correlation into the MC innovations.”
Bootstrap Methods in Econometrics (2006, unknown): “It has recently been applied to Dickey-Fuller unit root testing by Park (2003) and Chang and Park (2003), and it seems to work quite well in many cases.”
Speculative bubbles in agricultural commodity markets (2013, background): “Thus given that the sup(·) operator in equations (8) and (9) is a continuous function and applying the continuous mapping theorem, one can assume that Chang and Park (2003) and Palm et al. (2008) results will also hold for the bootstrapped test statistics (Hamilton, 1994).”
TFT-bootstrap: Resampling time series in the frequency domain to obtain replicates in the time domain (2011, background): “, Cavaliere and Taylor [7–9], Chang and Park [11], Park [45], Paparoditis and Politis [44] and the references therein).”
Bootstrap Unit‐Root Tests: Comparison and Extensions (2008, methodology): “Bootstrap test 3 (Chang and Park, 2003).”
Bootstrapping the autoregressive distributed lag test for cointegration (2018, methodology): “This adds to the existing research on bootstrapping in time series models (for example, Li and Maddala, 1997; Chang and Park, 2003; Palm et al., 2010; Ko, 2011).”
Bootstrap Inference in Econometrics (2002, unknown): “For details, see Biihlmann (1997, 1998), Choi and Hall (2000), Park (2002), and Chang and Park (2002).”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “Chang and Park (2003) suggest estimating the stationary lag dynamics under the unit root null hypothesis, i.e., by fitting the autoregression X̂T,t = ∑k i=1 βi X̂T,t−i + uT,t ;k . This equation differs from the usual ADF regression (26) through the omission of X̂T,t−1 from the set of regressors. How”
Bootstrapping cointegrating regressions (2006, methodology): “See Chang and Park (2002b) for more details.”