Bootstrapping unit root tests with covariates
نویسندگان
چکیده
منابع مشابه
Bootstrapping Unit Root Tests with Covariates
We consider the bootstrap method for the covariates augmented DickeyFuller (CADF) unit root test suggested in Hansen (1995) which uses related variables to improve the power of univariate unit root tests. It is shown that there are substantial power gains from including correlated covariates. The limit distribution of the CADF test, however, depends on the nuisance parameter that represents the...
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Numerous tests for integration and cointegration have been proposed in the literature. Since Elliott, Rothemberg and Stock (1996) the search for tests with better power has moved in the direction of finding tests with some optimality properties both in univariate and multivariate models. Although the optimal tests constructed so far have asymptotic power that is indistinguishable from the power...
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This paper develops a wavelet (spectral) approach to testing the presence of a unit root in a stochastic process. The wavelet approach is appealing, since it is based directly on the different behavior of the spectra of a unit root process and that of a short memory stationary process. By decomposing the variance (energy) of the underlying process into the variance of its low frequency componen...
متن کاملBootstrap Unit Root Tests
We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...
متن کاملRISE Working Paper 15 - 009 “ Bootstrapping Unit Root Tests with Covariates ” by Yoosoon Chang , Robin C . Sickles and Wonho Song RISE RICE INITIATIVE for the STUDY of ECONOMICS
We consider the bootstrap method for the covariates augmented DickeyFuller (CADF) unit root test suggested in Hansen (1995) which uses related variables to improve the power of univariate unit root tests. It is shown that there are substantial power gains from including correlated covariates. The limit distribution of the CADF test, however, depends on the nuisance parameter that represents the...
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ژورنال
عنوان ژورنال: Econometric Reviews
سال: 2015
ISSN: 0747-4938,1532-4168
DOI: 10.1080/07474938.2015.1114279