Date of Award:

5-2003

Document Type:

Thesis

Degree Name:

Master of Science (MS)

Department:

Mathematics and Statistics

Advisor/Chair:

Piotr Kokoszka

Abstract

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.

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019a287b46adad8dcb32b393433fed2b

Included in

Mathematics Commons

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