Prepivoted Augmented Dickey-Fuller Test with Bootstrap-Assisted Lag Length Selection
We investigate the application of prepivoting in conjunction with lag length selection to correct the size and power performance of the Augmented Dickey-Fuller test for a unit root. The bootstrap methodology used to perform the prepivoting is a residual based AR bootstrap that ensures that bootstrap...
Furkejuvvon:
| Váldodahkkit: | , |
|---|---|
| Materiálatiipa: | Artigo |
| Giella: | Inglês |
| Almmustuhtton: |
MDPI AG
2024-10-01
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| Ráidu: | Stats |
| Fáttát: | |
| Liŋkkat: | https://www.mdpi.com/2571-905X/7/4/72 |
| Fáddágilkorat: |
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