Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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A Unit Root Test Based on Bootstrapping

  • Shin, Key-Il (Assistant Professor, Department of Statistics, Hankuk University of Foreign Studies) ;
  • Kang, Hee-Jeong (College Instructor,Department of Statistics,Chonbuk National University)
  • Published : 1996.04.01
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Abstract

We consider nonstationary autoregressive autoregressive process with infinite variance of error. In the case of infinite cariance, the limiting distribution of the estimated coefficient is different from that under the finite cariance assumption. In this paper we show that the bootstrap method can be used to approximate the distribution of ordinary least squares estimator of the coefficient in the first order random walk process with infinite variance through some empirical studies and we suggest a test procedure based on bootstrap method for the unit root test.

Keywords

References

  1. The Annals of Statistics v.21 no.2 The Limiting Distribution of the Autocorrelation coefficient under a Unit Root Abadir, K. M.
  2. The Annals of Statistics v.19 no.2 Bootstrapping Unstable First-Order Autoregressive Process Basawa, I. V.;Mallik, A. K.;McCormik,W.P.;Reeves, J. H.;Taylor, R. L.
  3. Technical Report On Asymptotic Properties of Bootstrap for Unstable AR(1) Process Datta, S.
  4. An Introduction to the Bootstrap Efron, B.;Tibshirani, R. J.
  5. An Introduction to Probability Theory and Its Application(2nd Ed) v.2 Feller, W.
  6. Introduction to Statistical Time Series Fuller, W. A.
  7. The Canadian Journal of Statistics v.17 no.3 Limit Theory for Autoregressive-Parameter Estimates in an Infinite-Variance Random Walk Knight, K.