Bootstrap Unit Root Tests for Heavy-Tailed Time Series
We explore the applicability of bootstrap unit root tests to time series with heavy-tailed errors. The size and power of the tests are investigated using simulated data. Applications to financial time series are also presented. Two different bootstrap methods and the subsampling approach are compared. Conclusions on the optimal bootstrap parameters, the range of applicability, and the performance of the tests are presented.
KeywordsUnit Root Unit Root Test Null Distribution Yield Curve Bootstrap Test
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