Sieve Bootstrap for Fixed-b Phillips–Perron Unit Root Test
Author:
Funder
National Natural Science Foundation of China
China Postdoctoral Science Foundation
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10614-024-10553-0.pdf
Reference27 articles.
1. Arize, A. C., & Malindretos, J. (2012). Nonstationarity and nonlinearity in inflation rate: Some further evidence. International Review of Economics & Finance, 24, 224–234.
2. Bühlmann, P. (1997). Sieve Bootstrap for Time Series. Bernoulli, 3(2), 123–148.
3. Chang, Y., & Park, J. Y. (2002). On the asymptotics of ADF tests for unit roots. Econometric Reviews, 21(4), 431–447.
4. Chang, Y., & Park, J. Y. (2003). A Sieve bootstrap for the test of a unit root. Journal of Time Series Analysis, 24(4), 379–400.
5. Chaudhuri, K., & Wu, Y. (2003). Random walk versus breaking trend in stock prices: Evidence from emerging markets. Journal of Banking & Finance, 27(4), 575–592.
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