A Bootstrap View on Dickey-Fuller Control Charts for AR(1) Series
Dickey-Fuller control charts aim at monitoring a time series until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical values), w...
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| Format: | Article |
| Language: | English |
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Austrian Statistical Society
2016-04-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/381 |
| Summary: | Dickey-Fuller control charts aim at monitoring a time series until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical values), we study the bootstrap and establish its a.s. consistency for fixed alternatives. Simulations indicate that the bootstrap control chart works very well. |
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| ISSN: | 1026-597X |