Bootstrap unit root test based on least absolute deviation estimation under dependence assumptions |
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Authors: | Xiaorong Yang |
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Institution: | 1. College of Statistics &2. Mathematics, Zhejiang Gongshang University, Hangzhou 310018, People's Republic of China |
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Abstract: | In this paper, a bootstrap test based on the least absolute deviation (LAD) estimation for the unit root test in first-order autoregressive models with dependent residuals is considered. The convergence in probability of the bootstrap distribution function is established. Under the frame of dependence assumptions, the asymptotic behavior of the bootstrap LAD estimator is independent of the covariance matrix of the residuals, which automatically approximates the target distribution. |
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Keywords: | autoregressive processes bootstrap least absolute deviation dependent random variables unit root |
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