Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC
(2012) In Journal of Statistical Computation and Simulation 81(9 juni). p.431-443- Abstract
- 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... (More)
- 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. Cski, 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. (Less)
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1978161
- author
- Mantalos, Panagiotis LU and A, Karagrigoriou
- organization
- publishing date
- 2012
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- model selection, bootstrap, time series
- in
- Journal of Statistical Computation and Simulation
- volume
- 81
- issue
- 9 juni
- pages
- 431 - 443
- publisher
- Taylor & Francis
- external identifiers
-
- wos:000302056900007
- scopus:84858124135
- ISSN
- 1563-5163
- DOI
- 10.1080/00949655.2010.539219
- language
- English
- LU publication?
- yes
- id
- 544ab5d6-8fe2-42e4-bf4a-b1b64aaa32f7 (old id 1978161)
- date added to LUP
- 2016-04-01 14:33:03
- date last changed
- 2022-01-28 01:13:54
@article{544ab5d6-8fe2-42e4-bf4a-b1b64aaa32f7,
abstract = {{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. Cski, 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.}},
author = {{Mantalos, Panagiotis and A, Karagrigoriou}},
issn = {{1563-5163}},
keywords = {{model selection; bootstrap; time series}},
language = {{eng}},
number = {{9 juni}},
pages = {{431--443}},
publisher = {{Taylor & Francis}},
series = {{Journal of Statistical Computation and Simulation}},
title = {{Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC}},
url = {{http://dx.doi.org/10.1080/00949655.2010.539219}},
doi = {{10.1080/00949655.2010.539219}},
volume = {{81}},
year = {{2012}},
}