RT Generic
T1 Bootstrap tests for unit roots based on lad estimation
A1 Moreno, Marta
A1 Romo, Juan
A2 Universidad Carlos III de Madrid. Departamento de Estadística, 
AB In 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.
YR 1997
FD 1997-05
LK https://hdl.handle.net/10016/6210
UL https://hdl.handle.net/10016/6210
LA eng
DS e-Archivo
RD 1 sept. 2024