IDEAS home Printed from https://ideas.repec.org/p/zbw/sfb475/200601.html
   My bibliography  Save this paper

A bootstrap view on dickey-fuller control charts for AR(1) series

Author

Listed:
  • Steland, Ansgar

Abstract

Dickey-Fuller control charts aim at monitoring a random walk until a given time horizon to detect stationarity as early as possible. That problem appears in many fields, especially in econometrics and the analysis of economic equilibria. To improve upon asymptotic control limits (critical values), we study the bootstrap and establish its a.s. consistency for fixed alternatives. Simulations indicate that the bootstrap control chart works very well.

Suggested Citation

  • Steland, Ansgar, 2006. "A bootstrap view on dickey-fuller control charts for AR(1) series," Technical Reports 2006,01, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    • Handle: RePEc:zbw:sfb475:200601
    as

    Download full text from publisher

    File URL: https://www.econstor.eu/bitstream/10419/22634/1/tr01-06.pdf
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Joon Y. Park, 2003. "Bootstrap Unit Root Tests," Econometrica, Econometric Society, vol. 71(6), pages 1845-1895, November.
    2. Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
    3. Ansgar Steland, 2005. "Random Walks with Drift – A Sequential Approach," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(6), pages 917-942, November.
    4. Ansgar Steland, 2004. "Sequential control of time series by functionals of kernal-weighted empirical processes under local alternatives," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 60(3), pages 229-249, November.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Marie Hušková & Claudia Kirch, 2012. "Bootstrapping sequential change-point tests for linear regression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 75(5), pages 673-708, July.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Russell Davidson & Victoria Zinde‐Walsh, 2017. "Advances in specification testing," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 50(5), pages 1595-1631, December.
    2. Niels Haldrup & Robinson Kruse & Timo Teräsvirta & Rasmus T. Varneskov, 2013. "Unit roots, non-linearities and structural breaks," Chapters, in: Nigar Hashimzade & Michael A. Thornton (ed.), Handbook of Research Methods and Applications in Empirical Macroeconomics, chapter 4, pages 61-94, Edward Elgar Publishing.
    3. Wesam Salah Alaloul & Muhammad Ali Musarat & Muhammad Babar Ali Rabbani & Qaiser Iqbal & Ahsen Maqsoom & Waqas Farooq, 2021. "Construction Sector Contribution to Economic Stability: Malaysian GDP Distribution," Sustainability, MDPI, vol. 13(9), pages 1-26, April.
    4. Luis Gil-Alana, 2004. "Forecasting the real output using fractionally integrated techniques," Applied Economics, Taylor & Francis Journals, vol. 36(14), pages 1583-1589.
    5. Biqing Cai & Jiti Gao & Dag Tjøstheim, 2017. "A New Class of Bivariate Threshold Cointegration Models," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(2), pages 288-305, April.
    6. repec:kap:iaecre:v:17:y:2011:i:2:p:157-168 is not listed on IDEAS
    7. Hwang, Eunju & Shin, Dong Wan, 2015. "Stationary bootstrapping for semiparametric panel unit root tests," Computational Statistics & Data Analysis, Elsevier, vol. 83(C), pages 14-25.
    8. Nielsen, Morten Orregaard & Shimotsu, Katsumi, 2007. "Determining the cointegrating rank in nonstationary fractional systems by the exact local Whittle approach," Journal of Econometrics, Elsevier, vol. 141(2), pages 574-596, December.
    9. Andreas Stephan, 1997. "The Impact of Road Infrastructure on Productivity and Growth: Some Preliminary Results for the German Manufacturing Sector," CIG Working Papers FS IV 97-47, Wissenschaftszentrum Berlin (WZB), Research Unit: Competition and Innovation (CIG).
    10. Guglielmo Maria Caporale & Luis A. Gil-Alana, 2015. "Infant mortality rates: time trends and fractional integration," Journal of Applied Statistics, Taylor & Francis Journals, vol. 42(3), pages 589-602, March.
    11. Mohamed, Hazik & Masih, Mansur, 2017. "Stock market comovement among the ASEAN-5 : a causality analysis," MPRA Paper 98781, University Library of Munich, Germany.
    12. Muhammad Shahbaz & Syed Jawad Hussain Shahzad & Mantu Kumar Mahalik & Perry Sadorsky, 2018. "How strong is the causal relationship between globalization and energy consumption in developed economies? A country-specific time-series and panel analysis," Applied Economics, Taylor & Francis Journals, vol. 50(13), pages 1479-1494, March.
    13. Erie Febrian & Aldrin Herwany, 2009. "Volatility Forecasting Models and Market Co-Integration: A Study on South-East Asian Markets," Working Papers in Economics and Development Studies (WoPEDS) 200911, Department of Economics, Padjadjaran University, revised Sep 2009.
    14. Yong Glasure & Aie-Rie Lee & James Norris, 1999. "Level of economic development and political democracy revisited," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 5(4), pages 466-477, November.
    15. Carmen van der Merwe & Martin de Wit, 2021. "An In-Depth Investigation into the Relationship Between Municipal Solid Waste Generation and Economic Growth in the City of Cape Town," Working Papers 07/2021, Stellenbosch University, Department of Economics, revised 2021.
    16. Hassler, U. & Marmol, F. & Velasco, C., 2006. "Residual log-periodogram inference for long-run relationships," Journal of Econometrics, Elsevier, vol. 130(1), pages 165-207, January.
    17. Kenneth F. Wallis & Jan P. A. M. Jacobs, 2005. "Comparing SVARs and SEMs: two models of the UK economy," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(2), pages 209-228.
    18. Neil R. Ericsson, 2021. "Dynamic Econometrics in Action: A Biography of David F. Hendry," International Finance Discussion Papers 1311, Board of Governors of the Federal Reserve System (U.S.).
    19. Haldrup, Niels & Nielsen, Morten Orregaard, 2006. "A regime switching long memory model for electricity prices," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 349-376.
    20. Jesus Gonzalo & Tae-Hwy Lee, 2000. "On the robustness of cointegration tests when series are fractionally intergrated," Journal of Applied Statistics, Taylor & Francis Journals, vol. 27(7), pages 821-827.
    21. Gregory, Allan W. & Hansen, Bruce E., 1996. "Residual-based tests for cointegration in models with regime shifts," Journal of Econometrics, Elsevier, vol. 70(1), pages 99-126, January.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:zbw:sfb475:200601. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ZBW - Leibniz Information Centre for Economics (email available below). General contact details of provider: https://edirc.repec.org/data/isdorde.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.