Residual‐Based Block Bootstrap for Unit Root Testing

By Efstathios Paparoditis, Dimitris Nicolas Politis. 2003

160 citations recorded by the source corpus.

Subfields: Aerospace Engineering, Control and Systems Engineering, Hardware and Architecture

View Paper: https://www.semanticscholar.org/paper/e366dd32b4b5790db34f710572964a161f72ec53

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Citations in the corpus

The bootstrap in econometrics (2003, methodology): “Methods for obtaining consistent bootstrap estimates when the DGP has or may have a unit root are now available (Basawa et al., 1991; Datta, 1996; Ferretti and Romo, 1996; Inoue and Kilian, 2002; Paparoditis and Politis, 2003; Park, 2002).”
TFT-bootstrap: Resampling time series in the frequency domain to obtain replicates in the time domain (2011, methodology): “Other choices for ρ and ρ̂T are also possible (for a detailed discussion, see Section 2 of Paparoditis and Politis [43]).”
BLOCK BOOTSTRAP HAC ROBUST TESTS: THE SOPHISTICATION OF THE NAIVE BOOTSTRAP (2011, background): “Lemma A.3 is a multivariate extension of a univariate bootstrap FCLT given in Paparoditis and Politis (2003) for stationary mixing processes to the NED case.”
Inference in VARs with Conditional Heteroskedasticity of Unknown Form (2016, background): “Sims (1992), Bernanke & Blinder (1992), Christiano et al.”
COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY (2010, unknown): “For the reasons outlined on page 12 of Rahbek et al. (2002), relating to similarity with respect to initial values (see also Nielsen and Rahbek, 2000), the VAR model was fitted with a restricted constant (i.”
The Carbon Kuznets Curve: A Cloudy Picture Emitted by Bad Econometrics? (2008, methodology): “For comparison, however, we have also implemented the so called residual based block bootstrap (RBB) procedure of Paparoditis and Politis (2003), which has certain asymptotical (for T → ∞) advantages in terms of power compared to the other procedures implemented, compare Paparoditis and Politis…”
Bootstrap Methods for Time Series (2003, background): “Paparoditis and Politis (2003) applied the concept of block bootstrap (cf. Section 5) to residuals in order to deal with rather relevant unit root testing problems.”
HETEROSKEDASTIC TIME SERIES WITH A UNIT ROOT (2009, methodology): “Most of the existing resampling methods for unit root tests are based on either i.i.d. (see, among others, Inoue and Kilian, 2002; Chang and Park, 2003; Park, 2003) or block (e.g., Paparoditis and Politis, 2003) resampling.”
UNIT ROOT TEST IN A THRESHOLD AUTOREGRESSION: ASYMPTOTIC THEORY AND RESIDUAL-BASED BLOCK BOOTSTRAP (2008, unknown): “…yt 1, and the lagged Dyt ’s+ Although the Phillips–Perron test can be applied to more general error processes, it is often very difficult to estimate the bias term precisely for the sample size encountered in application+ Although the ADF test often performs better than the Phillips–Perron…”
Bootstrap Unit‐Root Tests: Comparison and Extensions (2008, methodology): “For finite-order AR(p) processes, Paparoditis and Politis (2005) show that under fixed alternatives the bootstrap distribution of the residual-based sieve bootstrap coefficient test is the same as that under the null.”
Improving Size and Power in Unit Root Testing (2005, methodology): “Also, a recent literature has developed adopting bootstrap methods for unit root tests [e.g., Park (2002, 2003), Paparoditis and Politis (2003), Davidson and MacKinnon (2005)].”