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Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
Lund University. (stat@oru)
University of Cyprus, Cyrpus.
2012 (English)In: Journal of Statistical Computation and Simulation, ISSN 0094-9655, E-ISSN 1563-5163, Vol. 82, no 3, 431-443 p.Article in journal (Refereed) Published
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Abstract [en]

In this paper, we consider the bootstrap procedure for the augmented Dickey–Fuller (ADF) unit root test by implementing the modified divergence information criterion (MDIC, Mantalos et al. [An improved divergence information criterion for the determination of the order of an AR process, Commun. Statist. Comput. Simul. 39(5) (2010a), pp. 865–879; Forecasting ARMA models: A comparative study of information criteria focusing on MDIC, J. Statist. Comput. Simul. 80(1) (2010b), pp. 61–73]) for the selection of the optimum number of lags in the estimated model. The asymptotic distribution of the resulting bootstrap ADF/MDIC test is established and its finite sample performance is investigated through Monte-Carlo simulations. The proposed bootstrap tests are found to have finite sample sizes that are generally much closer to their nominal values, than those tests that rely on other information criteria, like the Akaike information criterion [H. Akaike, Information theory and an extension of the maximum likelihood principle, in Proceedings of the 2nd International Symposium on Information Theory, B.N. Petrov and F. Csáki, eds., Akademiai Kaido, Budapest, 1973, pp. 267–281]. The simulations reveal that the proposed procedure is quite satisfactory even for models with large negative moving average coefficients.

Place, publisher, year, edition, pages
2012. Vol. 82, no 3, 431-443 p.
Keyword [en]
model selection, time series, bootstrap
National Category
Probability Theory and Statistics
Research subject
Statistics
Identifiers
URN: urn:nbn:se:lnu:diva-50572DOI: 10.1080/00949655.2010.539219ISI: 000302056900007Scopus ID: 2-s2.0-84858124135OAI: oai:DiVA.org:lnu-50572DiVA: diva2:911072
Available from: 2015-01-08 Created: 2016-03-11 Last updated: 2016-04-14Bibliographically approved

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CiteExportLink to record
Permanent link

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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • 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
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