Bootstrap Unit Root Tests

By Joon Y. Park. 2003

144 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/9dc21f2e28912a7b8fdb20c40d76882286c331c4

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Citations in the corpus

Functional regression of continuous state distributions (2012, methodology): “1 in Park and Qian (2007), E‖Q̂− Q̃‖2 = O(N−r).”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, unknown): “…proposed in the literature (see, e.g., Swensen, 2006; and, in the univariate (p = 1) case, Inoue and Kilian, 2002; Paparoditis and Politis, 2003; Park, 2003), the wild bootstrap replicates the pattern of heteroskedasticity present in the original shocks and, hence, preserves the temporal…”
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).”
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.”
Bootstrapping Unit Root Tests for Autoregressive Time Series (2005, methodology): “…the commonly used bootstrap approach based on differences, the foregoing result is new, because the asymptotic behavior of T∗n and T∗n,C has been investigated in the literature only under the assumption that the null hypothesis is correct, that is, under the assumption ρ = 1 (see, e.g., Park 2003).”
The bootstrap in econometrics (2003, methodology): “However, research is only just beginning on the ability of the bootstrap to provide asymptotic refinements when the DGP may have a unit root (Park, 2002).”
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).”
Improving Size and Power in Unit Root Testing (2005, methodology): “As shown by Chang and Park (2002), the ARMA ( p, q) assumption on ut can actually be replaced by the weaker assumption that P1 j1⁄40 cjz j 61⁄4 0 for every j z j 1 (and P1 j1⁄40 jjcjj < 1).”
Bootstrapping cointegrating regressions (2006, methodology): “See, e.g., Basawa et al. (1991), Chang (2000), Chang and Park (2002b) and Park (2000, 2002).”
Testing for Co-integration in Vector Autoregressions with Non-Stationary Volatility (2010, unknown): “…the wild bootstrap scheme is required, rather than the standard residual re-sampling schemes used for other bootstrap co-integration tests proposed in the literature; see, e.g., Swensen (2006) and, in the univariate case, Inoue and Kilian (2002), Paparoditis and Politis (2003), Park (2003).”
BOOTSTRAP UNIT ROOT TESTS FOR TIME SERIES WITH NONSTATIONARY VOLATILITY (2007, background): “We assume, without loss of generality ~see Chang and Park, 2002; Park, 2003!, that c 0 and that the residuals [ut, k are obtained under the null hypothesis, i+e+, by estimating the regression D ZXt i 1 k bi, kD ZXt i [ut, k+ In this case, if ZXt is replaced by Xt , so that the estimated regression…”
Bootstrap Unit‐Root Tests: Comparison and Extensions (2008, methodology): “Bootstrap test 3 (Chang and Park, 2003).”