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Bootstrap Unit Root Tests For Heavy-Tailed Observations, Andrejus Parfionovas

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

We explore the application of the bootstrap unit root test to time series with heavy-tailed errors. The size and power of the tests are estimated for two different autoregressive models (AR(1)) using computer simulated data. Real-data examples are also presented. Two different bootstrap methods and the subsampling approach are compared. Conclusions on the optimal bootstrap parameters, the range of applicability, and the performance of the tests are made.