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188宝金博页面版: Wild bootstrap tests for unit root in ESTAR models
内容提示： Stat Methods Appl (2015) 24:475–490DOI 10.1007/s10260-014-0289-0Wild bootstrap tests for unit root in ESTAR modelsDaiki MakiAccepted: 16 October 2014 / Published online: 28 October 2014? Springer-Verlag Berlin Heidelberg 2014Abstract This paper introduces wild bootstrap tests for unit root in exponentialsmooth transition autoregressive (ESTAR) models. Asymptotic unit root tests inESTAR models have severe size distortions in the presence of heteroskedastic vari-ancessuchasgeneralizedautoregressiveconditio...
