Linear process bootstrap unit root test

Publication date: Available online 7 September 2018Source: Statistics & Probability LettersAuthor(s): Nan Zou, Dimitris N. PolitisAbstractOne of the most widely applied unit root tests suffers from size distortions when moving average noise exists. As a remedy, this paper proposes a bootstrap test targeting moving average noise and shows its effectiveness in both theory and simulation.

Source: Statistics and Probability Letters - September 8, 2018 Category: Statistics Source Type: research