caa a22 4500 606196463 CHVBK 20210128100924.0 cr unu---uuuuu 210128e20150901xx s 000 0 eng 10.1007/s10260-014-0289-0 doi (NATIONALLICENCE)springer-10.1007/s10260-014-0289-0 Maki Daiki Faculty of Economics, Ryukoku University, 67 Tsukamoto-cho Fukakusa, 612-8577, Fushimi-ku, Kyoto, Japan aut Wild bootstrap tests for unit root in ESTAR models [Elektronische Daten] [Daiki Maki] This paper introduces wild bootstrap tests for unit root in exponential smooth transition autoregressive (ESTAR) models. Asymptotic unit root tests in ESTAR models have severe size distortions in the presence of heteroskedastic variances such as generalized autoregressive conditional heteroskedasticity and stochastic volatility, and hence, to improve these distortions, we use a wild bootstrap. Monte Carlo simulations show that in asymptotic tests, severe over-rejection of the null hypothesis occurs under heteroskedastic variances, whereas the proposed wild bootstrap tests have reasonable size and power properties. Springer-Verlag Berlin Heidelberg, 2014 Wild bootstrap nationallicence Unit root nationallicence ESTAR nationallicence Heteroskedastic variance nationallicence Statistical Methods & Applications Springer Berlin Heidelberg 24/3(2015-09-01), 475-490 1618-2510 24:3<475 2015 24 10260 https://doi.org/10.1007/s10260-014-0289-0 text/html Onlinezugriff via DOI BK010053 XK010053 XK010000 Metadata rights reserved Springer special CC-BY-NC licence nationallicence 1 research-article jats NATIONALLICENCE NATIONALLICENCE NL-springer NATIONALLICENCE 856 40 https://doi.org/10.1007/s10260-014-0289-0 text/html Onlinezugriff via DOI NATIONALLICENCE 100 1- Maki Daiki Faculty of Economics, Ryukoku University, 67 Tsukamoto-cho Fukakusa, 612-8577, Fushimi-ku, Kyoto, Japan aut NATIONALLICENCE 773 0- Statistical Methods & Applications Springer Berlin Heidelberg 24/3(2015-09-01), 475-490 1618-2510 24:3<475 2015 24 10260