Prepivoted Augmented Dickey-Fuller Test with Bootstrap-Assisted Lag Length Selection
We investigate the application of prepivoting in conjunction with lag length selection to correct the size and power performance of the Augmented Dickey-Fuller test for a unit root. The bootstrap methodology used to perform the prepivoting is a residual based AR bootstrap that ensures that bootstrap...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2024-10-01
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| Series: | Stats |
| Subjects: | |
| Online Access: | https://www.mdpi.com/2571-905X/7/4/72 |
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