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Bootstrapping the augmented Dickey-Fuller test for unit root using the MDIC

Mantalos, Panagiotis LU and A, Karagrigoriou (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)
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author
organization
publishing date
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
2011-06-15 10:35:38
date last changed
2017-01-01 06:18:01
@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},
  keyword      = {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},
  volume       = {81},
  year         = {2012},
}