FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W1837649402> ?p ?o ?g. }

• W1837649402 endingPage "456" @default.
• W1837649402 startingPage "422" @default.
• W1837649402 abstract "Three important issues surround testing for a unit root in practice: uncertainty as to whether or not a linear deterministic trend is present in the data; uncertainty as to whether the initial condition of the process is (asymptotically) negligible or not, and the possible presence of nonstationary volatility in the data. Assuming homoskedasticity, Harvey, Leybourne, and Taylor (2011, Journal of Econometrics , forthcoming) propose decision rules based on a four-way union of rejections of quasi-differenced (QD) and ordinary least squares (OLS) detrended tests, both with and without a linear trend, to deal with the first two problems. In this paper we first discuss, again under homoskedasticity, how these union tests may be validly bootstrapped using the sieve bootstrap principle combined with either the independent and identically distributed (i.i.d.) or wild bootstrap resampling schemes. This serves to highlight the complications that arise when attempting to bootstrap the union tests. We then demonstrate that in the presence of nonstationary volatility the union test statistics have limit distributions that depend on the form of the volatility process, making tests based on the standard asymptotic critical values or, indeed, the i.i.d. bootstrap principle invalid. We show that wild bootstrap union tests are, however, asymptotically valid in the presence of nonstationary volatility. The wild bootstrap union tests therefore allow for a joint treatment of all three of the aforementioned issues in practice." @default.
• W1837649402 created "2016-06-24" @default.
• W1837649402 creator A5049184927 @default.
• W1837649402 creator A5072557423 @default.
• W1837649402 date "2011-09-13" @default.
• W1837649402 modified "2023-09-23" @default.
• W1837649402 title "BOOTSTRAP UNION TESTS FOR UNIT ROOTS IN THE PRESENCE OF NONSTATIONARY VOLATILITY" @default.
• W1837649402 cites W1975926847 @default.
• W1837649402 cites W1978893196 @default.
• W1837649402 cites W1980329653 @default.
• W1837649402 cites W2001288744 @default.
• W1837649402 cites W2011111930 @default.
• W1837649402 cites W2019718726 @default.
• W1837649402 cites W2046656261 @default.
• W1837649402 cites W2048575689 @default.
• W1837649402 cites W2056253595 @default.
• W1837649402 cites W2065875419 @default.
• W1837649402 cites W2081751049 @default.
• W1837649402 cites W2082390127 @default.
• W1837649402 cites W2084302820 @default.
• W1837649402 cites W2087961746 @default.
• W1837649402 cites W2089616760 @default.
• W1837649402 cites W2093296623 @default.
• W1837649402 cites W2093308449 @default.
• W1837649402 cites W2094025373 @default.
• W1837649402 cites W2097580026 @default.
• W1837649402 cites W2110067385 @default.
• W1837649402 cites W2110564849 @default.
• W1837649402 cites W2111259673 @default.
• W1837649402 cites W2124752304 @default.
• W1837649402 cites W2128308269 @default.
• W1837649402 cites W2130803168 @default.
• W1837649402 cites W2135606128 @default.
• W1837649402 cites W2149292156 @default.
• W1837649402 cites W2169107902 @default.
• W1837649402 cites W3021629318 @default.
• W1837649402 cites W3121373826 @default.
• W1837649402 cites W3121980877 @default.
• W1837649402 cites W3124235709 @default.
• W1837649402 cites W3125458234 @default.
• W1837649402 cites W4235347282 @default.
• W1837649402 doi "https://doi.org/10.1017/s0266466611000387" @default.
• W1837649402 hasPublicationYear "2011" @default.
• W1837649402 type Work @default.
• W1837649402 sameAs 1837649402 @default.
• W1837649402 citedByCount "23" @default.
• W1837649402 countsByYear W18376494022013 @default.
• W1837649402 countsByYear W18376494022014 @default.
• W1837649402 countsByYear W18376494022016 @default.
• W1837649402 countsByYear W18376494022018 @default.
• W1837649402 countsByYear W18376494022019 @default.
• W1837649402 countsByYear W18376494022020 @default.
• W1837649402 countsByYear W18376494022021 @default.
• W1837649402 countsByYear W18376494022022 @default.
• W1837649402 countsByYear W18376494022023 @default.
• W1837649402 crossrefType "journal-article" @default.
• W1837649402 hasAuthorship W1837649402A5049184927 @default.
• W1837649402 hasAuthorship W1837649402A5072557423 @default.
• W1837649402 hasBestOaLocation W18376494022 @default.
• W1837649402 hasConcept C101104100 @default.
• W1837649402 hasConcept C104409967 @default.
• W1837649402 hasConcept C105795698 @default.
• W1837649402 hasConcept C149782125 @default.
• W1837649402 hasConcept C150921843 @default.
• W1837649402 hasConcept C195561663 @default.
• W1837649402 hasConcept C33923547 @default.
• W1837649402 hasConcept C91602232 @default.
• W1837649402 hasConceptScore W1837649402C101104100 @default.
• W1837649402 hasConceptScore W1837649402C104409967 @default.
• W1837649402 hasConceptScore W1837649402C105795698 @default.
• W1837649402 hasConceptScore W1837649402C149782125 @default.
• W1837649402 hasConceptScore W1837649402C150921843 @default.
• W1837649402 hasConceptScore W1837649402C195561663 @default.
• W1837649402 hasConceptScore W1837649402C33923547 @default.
• W1837649402 hasConceptScore W1837649402C91602232 @default.
• W1837649402 hasIssue "2" @default.
• W1837649402 hasLocation W18376494021 @default.
• W1837649402 hasLocation W18376494022 @default.
• W1837649402 hasLocation W18376494023 @default.
• W1837649402 hasLocation W18376494024 @default.
• W1837649402 hasLocation W18376494025 @default.
• W1837649402 hasOpenAccess W1837649402 @default.
• W1837649402 hasPrimaryLocation W18376494021 @default.
• W1837649402 hasRelatedWork W1975926847 @default.
• W1837649402 hasRelatedWork W2001847331 @default.
• W1837649402 hasRelatedWork W2008914889 @default.
• W1837649402 hasRelatedWork W2013144489 @default.
• W1837649402 hasRelatedWork W2163459455 @default.
• W1837649402 hasRelatedWork W2580909728 @default.
• W1837649402 hasRelatedWork W2582496451 @default.
• W1837649402 hasRelatedWork W3021774525 @default.
• W1837649402 hasRelatedWork W3097231546 @default.
• W1837649402 hasRelatedWork W3121585093 @default.
• W1837649402 hasVolume "28" @default.
• W1837649402 isParatext "false" @default.
• W1837649402 isRetracted "false" @default.
• W1837649402 magId "1837649402" @default.
• W1837649402 workType "article" @default.