We explore the application of the bootstrap unit root test to time series with heavy-tailed errors. The size and power of the tests are estimated for two different autoregressive models (AR(1)) using computer simulated data. Real-data examples are also presented. Two different bootstrap methods and the subsampling approach are compared. Conclusions on the optimal bootstrap parameters, the range of applicability, and the performance of the tests are made.
| Identifer | oai:union.ndltd.org:UTAHS/oai:digitalcommons.usu.edu:etd-8248 |
| Date | 01 May 2003 |
| Creators | Parfionovas, Andrejus |
| Publisher | DigitalCommons@USU |
| Source Sets | Utah State University |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | All Graduate Theses and Dissertations |
| Rights | Copyright for this work is held by the author. Transmission or reproduction of materials protected by copyright beyond that allowed by fair use requires the written permission of the copyright owners. Works not in the public domain cannot be commercially exploited without permission of the copyright owner. Responsibility for any use rests exclusively with the user. For more information contact digitalcommons@usu.edu. |
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