1. On Wild Bootstrap and M Unit Root Test
- Author
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SCHOIER, GABRIELLA, Tommaso Minerva, Isabella Morlini, Francesco Palumbo, and Schoier, Gabriella
- Subjects
M unit root test ,MSCI equity index ,Wild Bootstrap - Abstract
In this paper we analyze the problem of testing for the presence of unit roots and cointegration in the case of macro-economic and financial time series. Traditional units test are not suitable for these series as they present permanent volatility shifts, so different tests have been proposed. We consider a wild bootstrap version of the M unit test. Instead of standard normal bootstrap residuals Student-t bootstrap residuals are used. Some simulations been performed comparing the results obtained using both type of bootstrap residuals. The application regards to the MSCI Equity Indices.
- Published
- 2013