Tapered Block Bootstrap for Unit Root Testing
نویسندگان
چکیده
منابع مشابه
Tapered Block Bootstrap for Unit Root Testing
A new bootstrap procedure for unit root testing based on the tapered block bootstrap is introduced. This procedure is similar to previous tests that were based on the block bootstrap and stationary bootstrap, but it has the advantage of the tapering procedure that has been previously shown to reduce the bias of the variance estimator by an order of magnitude. In this paper, the procedure is def...
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ژورنال
عنوان ژورنال: Journal of Time Series Econometrics
سال: 2015
ISSN: 2194-6507,1941-1928
DOI: 10.1515/jtse-2013-0033