Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
10147243 | Statistics & Probability Letters | 2019 | 7 Pages |
Abstract
One 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.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Nan Zou, Dimitris N. Politis,