A Unit Root Test for an AR(1)Process with AR Errors by Using Random Weighted Bootstrap

作     者：Xiao Hui Liu Ya Wen Fan Yu Zi Liu Shi Hua Luo Xiao Hui LIU;Ya Wen FAN;Yu Zi LIU;Shi Hua LUO

作者机构：School of Statistics and Data ScienceJiangxi University of Finance and EconomicsNanchang330013P.R.China Key Laboratory of Data Science in Finance and EconomicsJiangxi University of Finance and EconomicsNanchang330013P.R.China 

出 版 物：《Acta Mathematica Sinica,English Series》 (数学学报（英文版）)

年 卷 期：2023年第39卷第9期

页      面：1834-1854页

核心收录：

学科分类：02[经济学] 0202[经济学-应用经济学] 020208[经济学-统计学] 07[理学] 0714[理学-统计学（可授理学、经济学学位）] 070103[理学-概率论与数理统计] 0701[理学-数学] 

基　　金：supported by the NNSF of China(Grant Nos.11971208 and 11601197) the NNSF of China(Grant No.61973145) the Outstanding Youth Fund Project of the Science and Technology Department of Jiangxi Province(Grant No.20224ACB211003) supported by the Science and Technology Research Project of Education Department of Jiangxi Province(Grant No.GJJ200545) the Postgraduate Innovation Project of Jiangxi Province(Grant No.YC2021–B124) NSSF of China(Grant No.21BTJ035) supported by the National Major Social Science Project of China(Grant No.21&ZD152) Natural Science Project of Jiangxi Provincial Department of Science and Technology(Grant No.jxsq2023201048) 

主　　题：Autoregressive model random weighted bootstrap autoregressive errors unit root test 

摘      要：A great deal of economic problems are related to detecting the stability of time series data,where the main interest is in the unit root *** this paper,we consider the unit root testing problem with errors being long-memory processes with the LARCH structure.A new test statistic is developed by using the random weighted bootstrap *** turns out that the proposed statistic has a chisquared distribution asymptotically regardless of the process being stationary or nonst at ionary,and with or without an intercept *** simulation results show that the statistic has a desired finite sample performance in terms of both size and power.A real data application is also given relying on the inflation rate data of 17 countries.