uu.seUppsala University Publications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
On Bootstrap Evaluation of Tests for Unit Root and Cointegration
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
2014 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series.

The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. The small sample correction proposed by Johansen (2004) and bootstrap are two effective methods to improve the performance of the test. In this paper we compare these two methods as well as analyse the effect of bias-adjusting through a simulation study. We consider AR(1) and AR(2) models and both size and power properties are investigated.

The second paper studies the asymptotic refinement of the bootstrap cointegration rank test. We expand the test statistic of a simplified VECM model and a Monte Carlo simulation was carried out to verify that the bootstrap test gives asymptotic refinement.

The third paper focuses on the number of bootstrap replicates in bootstrap Dickey-Fuller unit root test. Through a simulation study, we find that a small number of bootstrap replicates are sufficient for a precise size, but, with too small number of replicates, we will lose power when the null hypothesis is not true.

The fourth and last paper of the thesis concerns unit root test in panel setting focusing on the test proposed by Palm, Smeekes and Urbain (2011). In the fourth paper, we study the robustness of the PSU test with comparison with two representative tests from the second generation panel unit root tests. In the last paper, we generalise the PSU test to the model with deterministic terms. Two different methods are proposed to deal with the deterministic terms, and the asymptotic validity of the bootstrap procedure is theoretically checked. The small sample properties are studied by simulations and the paper is concluded by an empirical example.

Place, publisher, year, edition, pages
Uppsala: Acta Universitatis Upsaliensis, 2014. , 23 p.
Series
Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, ISSN 1652-9030 ; 104
Keyword [en]
non-stationary time series, unit root test, bootstrap, asymptotic refinement, cointegration, panel unit root test, cross-sectional dependence
National Category
Probability Theory and Statistics
Identifiers
URN: urn:nbn:se:uu:diva-233885ISBN: 978-91-554-9069-0 (print)ISBN: 978-91-554-9105-5 (print)OAI: oai:DiVA.org:uu-233885DiVA: diva2:754778
Public defence
2014-11-28, Hörsal 2, Ekonomikum, Uppsala, 10:15 (English)
Opponent
Supervisors
Note

Ogiltigt ISBN: 978-91-554-9069-0

Available from: 2014-11-06 Created: 2014-10-12 Last updated: 2015-02-03
List of papers
1. Bootstrap versus Bartlett type correction of the Dickey-Fuller test
Open this publication in new window or tab >>Bootstrap versus Bartlett type correction of the Dickey-Fuller test
2013 (English)Report (Other academic)
Place, publisher, year, edition, pages
Department of Statistics, Uppsala University, 2013. 19 p.
Series
Working paper / Department of Statistics, Uppsala University, 2013:6
National Category
Other Social Sciences
Research subject
Statistics
Identifiers
urn:nbn:se:uu:diva-202748 (URN)
Available from: 2013-06-26 Created: 2013-06-26 Last updated: 2014-11-06Bibliographically approved
2. A Simulation Verification of the Asymptotic Refinement in the Bootstrap Cointegration Rank Test
Open this publication in new window or tab >>A Simulation Verification of the Asymptotic Refinement in the Bootstrap Cointegration Rank Test
2013 (English)Report (Other academic)
Place, publisher, year, edition, pages
Department of Statistics, Uppsala University, 2013. 14 p.
Series
Working paper / Department of Statistics, Uppsala University, 2013:7
National Category
Other Social Sciences
Research subject
Statistics
Identifiers
urn:nbn:se:uu:diva-202751 (URN)
Available from: 2013-06-26 Created: 2013-06-26 Last updated: 2014-11-06Bibliographically approved
3. The Number of Bootstrap Replicates in Bootstrap Dickey-Fuller Unit Root Tests
Open this publication in new window or tab >>The Number of Bootstrap Replicates in Bootstrap Dickey-Fuller Unit Root Tests
2013 (English)Report (Other academic)
Place, publisher, year, edition, pages
Department of Statistics, Uppsala University, 2013. 9 p.
Series
Working paper / Department of Statistics, Uppsala University, 2013:8
National Category
Other Social Sciences
Research subject
Statistics
Identifiers
urn:nbn:se:uu:diva-202755 (URN)
Available from: 2013-06-26 Created: 2013-06-26 Last updated: 2014-11-06Bibliographically approved
4. On the robustness of the block bootstrap panel unit root test
Open this publication in new window or tab >>On the robustness of the block bootstrap panel unit root test
(English)Manuscript (preprint) (Other academic)
National Category
Other Natural Sciences
Identifiers
urn:nbn:se:uu:diva-222212 (URN)
Available from: 2014-04-08 Created: 2014-04-08 Last updated: 2017-09-11Bibliographically approved
5. Block bootstrap panel unit root tests with deterministic terms
Open this publication in new window or tab >>Block bootstrap panel unit root tests with deterministic terms
(English)Manuscript (preprint) (Other academic)
National Category
Other Natural Sciences
Identifiers
urn:nbn:se:uu:diva-222213 (URN)
Available from: 2014-04-08 Created: 2014-04-08 Last updated: 2014-11-06Bibliographically approved

Open Access in DiVA

fulltext(448 kB)476 downloads
File information
File name FULLTEXT02.pdfFile size 448 kBChecksum SHA-512
eb173e3b6bd99e06ad6597bbbc9c7787f33becd692dc280de201bdccaf1ce41f472e3e0d45571dd6f2a85f69e61614363615bfb4e06f29a92b4e247825df1eeb
Type fulltextMimetype application/pdf
Buy this publication >>

Authority records BETA

Wei, Jianxin

Search in DiVA

By author/editor
Wei, Jianxin
By organisation
Department of Statistics
Probability Theory and Statistics

Search outside of DiVA

GoogleGoogle Scholar
Total: 476 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

isbn
urn-nbn

Altmetric score

isbn
urn-nbn
Total: 991 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf