Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions

被引：1
作者：
Yang, Xiaorong [1 ]
机构：
[1] Zhejiang Gongshang Univ, Coll Stat & Math, Hangzhou 310018, Peoples R China
来源：
JOURNAL OF APPLIED STATISTICS | 2015年 / 42卷 / 06期
基金：
国家教育部科学基金资助;
关键词：
least absolute deviation; unit root; bootstrap; dependent random variables; autoregressive processes; 60F05; 62F40; WEAK-CONVERGENCE; STOCHASTIC INTEGRALS; MOMENT INEQUALITIES; ASYMPTOTIC THEORY; LIMIT THEORY;
D O I：
10.1080/02664763.2014.999652
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, a bootstrap test based on the least absolute deviation (LAD) estimation for the unit root test in first-order autoregressive models with dependent residuals is considered. The convergence in probability of the bootstrap distribution function is established. Under the frame of dependence assumptions, the asymptotic behavior of the bootstrap LAD estimator is independent of the covariance matrix of the residuals, which automatically approximates the target distribution.
引用
收藏
页码：1332 / 1347
页数：16
相关论文
共 46 条
  • [41] A unit root test based on smooth transitions and nonlinear adjustment
    Hepsag, Aycan
    COMMUNICATIONS IN STATISTICS-SIMULATION AND COMPUTATION, 2021, 50 (03) : 625 - 632
  • [42] Bootstrap-Based Test for Volatility Shifts in GARCH against Long-Range Dependence
    Wang, Yu
    Park, Cheolwoo
    Lee, Taewook
    COMMUNICATIONS FOR STATISTICAL APPLICATIONS AND METHODS, 2015, 22 (05) : 495 - 506
  • [43] A Continuous-Time Algorithm Based on Multi-Agent System for Distributed Least Absolute Deviation Subject to Hybrid Constraints
    Liu, Qingshan
    Li, Kaixuan
    IECON 2017 - 43RD ANNUAL CONFERENCE OF THE IEEE INDUSTRIAL ELECTRONICS SOCIETY, 2017, : 7381 - 7386
  • [44] A New Non-Parametric Subspace-Based Approach for Unit Root Test
    Farahikia, Mehran
    Yarmohammadi, Masoud
    Hassani, Hossein
    FLUCTUATION AND NOISE LETTERS, 2019, 18 (01):
  • [45] RANK-BASED ESTIMATION UNDER ASYMPTOTIC DEPENDENCE AND INDEPENDENCE, WITH APPLICATIONS TO SPATIAL EXTREMES
    Lalancette, Michael
    Engelke, Sebastian
    Volgushev, Stanislav
    ANNALS OF STATISTICS, 2021, 49 (05) : 2552 - 2576
  • [46] Stock Market Efficiency in Asia: Evidence from the Narayan-Liu-Westerlund's GARCH-based unit root test
    Yaya, OlaOluwa S.
    Adekoya, Oluwasegun B.
    Vo, Xuan Vinh
    Al-Faryan, Mamdouh Abdulaziz Saleh
    INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2024, 29 (01) : 91 - 101
12345