Prepivoted Augmented Dickey-Fuller Test with Bootstrap-Assisted Lag Length Selection

Prepivoted Augmented Dickey-Fuller Test with Bootstrap-Assisted Lag Length Selection

We investigate the application of prepivoting in conjunction with lag length selection to correct the size and power performance of the Augmented Dickey-Fuller test for a unit root. The bootstrap methodology used to perform the prepivoting is a residual based AR bootstrap that ensures that bootstrap...

Full description

Saved in:
Bibliographic Details
Main Authors: Somak Maitra, Dimitris N. Politis
Format: Article
Language:English
Published: MDPI AG 2024-10-01
Series:Stats
Subjects:
ADF test
bootstrap
hypothesis testing
unit root
ARMA models
lag length selection
Online Access:https://www.mdpi.com/2571-905X/7/4/72
Tags: Add Tag
No Tags, Be the first to tag this record!

Internet

https://www.mdpi.com/2571-905X/7/4/72

Similar Items