On Bootstrap Evaluation of Tests for Unit Root and Cointegration
This thesis is comprised of five papers that all relate to bootstrap methodology in analysis of non-stationary time series. The first paper starts with the fact that the Dickey-Fuller unit root test using asymptotic critical value has bad small sample performance. The small sample correction propose...
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| Format: | Doctoral Thesis |
| Language: | English |
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Uppsala universitet, Statistiska institutionen
2014
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:se:uu:diva-233885 http://nbn-resolving.de/urn:isbn:978-91-554-9069-0 http://nbn-resolving.de/urn:isbn:978-91-554-9105-5 |