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Block bootstrap panel unit root tests with deterministic terms
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
Uppsala University, Disciplinary Domain of Humanities and Social Sciences, Faculty of Social Sciences, Department of Statistics.
(English)Manuscript (preprint) (Other academic)
National Category
Other Natural Sciences
Identifiers
URN: urn:nbn:se:uu:diva-222213OAI: oai:DiVA.org:uu-222213DiVA: diva2:710953
Available from: 2014-04-08 Created: 2014-04-08 Last updated: 2014-11-06Bibliographically approved
In thesis
1. On Non Parametric Regression and Panel Unit Root Testing
Open this publication in new window or tab >>On Non Parametric Regression and Panel Unit Root Testing
2014 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

In this thesis, two different issues in econometrics are studied, the estimation of regression coefficients and the non-stationartiy analysis in a panel setting.

Regarding the first topic, we study a set of measure of location-based estimators (MLBEs) for the slope parameter in a linear regression model with a single stochastic regressor. The median-unbiased MLBEs are interesting as they can be robust to heavy-tailed and, hence, preferable to the ordinary least squares estimator (LSE) in such situations. Two cases, symmetric stable regression and contaminated normal regression, are considered as we investigate the statistical properties of the MLBEs. In addition, we illustrate how our results can be extended to include certain heteroscedastic regressions.

There are three papers concerning the second part. In the first paper, we propose a novel way to test the unit roots in the panel setting. The new tests are based on the observation that the trajectory of the cross sectional sample variance behaves differently for stationary than for non-stationary processes. Three different test statistics are proposed. The limiting distributions are derived and the small sample properties are studied by simulations. In the remaining papers, we focus on the studies of the block bootstrap panel unit root tests proposed by Palm, Smeekes and Urbain (2011) which aims at dealing with a rather general cross-sectional dependency structure. One paper studies the robustness of PSU tests by a comparison with two representative tests from the second generation panel unit root tests. In another paper, we generalized the block bootstrap panel unit root tests in the sense of considering the deterministic terms in the model. Two different methods to deal with the deterministic terms are proposed and the asymptotic validity of bootstrap tests under the main null hypothesis is theoretically checked. The small sample properties are studied by simulations.

Place, publisher, year, edition, pages
Uppsala: Acta Universitatis Upsaliensis, 2014. 30 p.
Series
Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, ISSN 1652-9030 ; 97
National Category
Probability Theory and Statistics Economics
Identifiers
urn:nbn:se:uu:diva-222242 (URN)978-91-554-8938-0 (ISBN)
Public defence
2014-05-26, Ekonomikum, Uppsala, 10:15 (English)
Opponent
Supervisors
Available from: 2014-05-07 Created: 2014-04-09 Last updated: 2017-09-11Bibliographically approved
2. On Bootstrap Evaluation of Tests for Unit Root and Cointegration
Open this publication in new window or tab >>On Bootstrap Evaluation of Tests for Unit Root and Cointegration
2014 (English)Doctoral thesis, comprehensive summary (Other academic)
Abstract [en]

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 proposed by Johansen (2004) and bootstrap are two effective methods to improve the performance of the test. In this paper we compare these two methods as well as analyse the effect of bias-adjusting through a simulation study. We consider AR(1) and AR(2) models and both size and power properties are investigated.

The second paper studies the asymptotic refinement of the bootstrap cointegration rank test. We expand the test statistic of a simplified VECM model and a Monte Carlo simulation was carried out to verify that the bootstrap test gives asymptotic refinement.

The third paper focuses on the number of bootstrap replicates in bootstrap Dickey-Fuller unit root test. Through a simulation study, we find that a small number of bootstrap replicates are sufficient for a precise size, but, with too small number of replicates, we will lose power when the null hypothesis is not true.

The fourth and last paper of the thesis concerns unit root test in panel setting focusing on the test proposed by Palm, Smeekes and Urbain (2011). In the fourth paper, we study the robustness of the PSU test with comparison with two representative tests from the second generation panel unit root tests. In the last paper, we generalise the PSU test to the model with deterministic terms. Two different methods are proposed to deal with the deterministic terms, and the asymptotic validity of the bootstrap procedure is theoretically checked. The small sample properties are studied by simulations and the paper is concluded by an empirical example.

Place, publisher, year, edition, pages
Uppsala: Acta Universitatis Upsaliensis, 2014. 23 p.
Series
Digital Comprehensive Summaries of Uppsala Dissertations from the Faculty of Social Sciences, ISSN 1652-9030 ; 104
Keyword
non-stationary time series, unit root test, bootstrap, asymptotic refinement, cointegration, panel unit root test, cross-sectional dependence
National Category
Probability Theory and Statistics
Identifiers
urn:nbn:se:uu:diva-233885 (URN)978-91-554-9069-0 (ISBN)978-91-554-9105-5 (ISBN)
Public defence
2014-11-28, Hörsal 2, Ekonomikum, Uppsala, 10:15 (English)
Opponent
Supervisors
Note

Ogiltigt ISBN: 978-91-554-9069-0

Available from: 2014-11-06 Created: 2014-10-12 Last updated: 2015-02-03

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Liu and Wei 2014 b(417 kB)115 downloads
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