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Bootstrap tests for unit roots based on lad estimation

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dc.affiliation.dptoUC3M. Departamento de Estadísticaes
dc.contributor.authorMoreno, Marta
dc.contributor.authorRomo, Juan
dc.contributor.editorUniversidad Carlos III de Madrid. Departamento de Estadística
dc.date.accessioned2009-12-22T14:41:38Z
dc.date.available2009-12-22T14:41:38Z
dc.date.issued1997-05
dc.description.abstractIn this paper we propose a new bootstrap test for unit roots in first order autoregressive models based on least absolute deviation (LAD) estimators. It is known that the behaviour of this estimator when the distribution is heavy tailed is very good compared with least squares estimation. The innovations distribution dependence of the LAD asymptotic law is overcome using bootstrap, which automatically approaches the target distribution. We provide the bootstrap functional limit theory necessary to prove the asymptotic validity of the procedure. Our strategy avoids the usual problem of estimating the variance matrix and the density in zero, and the construction of distribution free statistics through linear combinations with the least squares estimator. Moreover, a large simulation study shows that our test has very good power behaviour compared with others proposed in the literature.
dc.format.mimetypeapplication/pdf
dc.identifier.urihttps://hdl.handle.net/10016/6210
dc.language.isoeng
dc.relation.ispartofseriesUC3M Working Papers Statistic and Econometrics
dc.relation.ispartofseries97-33-16
dc.rightsAtribución-NoComercial-SinDerivadas 3.0 España
dc.rights.accessRightsopen access
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.subject.ecienciaEstadística
dc.subject.otherAutoregrerrive process
dc.subject.otherbootstrap
dc.subject.otherleast absolute deviation
dc.subject.otherunit root
dc.titleBootstrap tests for unit roots based on lad estimation
dc.typeworking paper*
dspace.entity.typePublication
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