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

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.

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Year of publication:	2006
Authors:	Steland, Ansgar
Publisher:	Dortmund : Universität Dortmund, Sonderforschungsbereich 475 - Komplexitätsreduktion in Multivariaten Datenstrukturen
Subject:	Autoregressive time series \| control chart \| invariance principle \| least squares \| resampling \| unit root

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Series:	Technical Report ; 2006,01
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	510724515 [GVK] hdl:10419/22634 [Handle] RePEc:zbw:sfb475:200601 [RePEc]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010296705