Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors
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Bibliographic record
Abstract
This article proposes a bootstrap unit root test in models with GARCH(1, 1) errors and establishes its asymptotic validity under mild moment and distributional restrictions. While the proposed bootstrap test for a unit root shares the power enhancing properties of its asymptotic counterpart (Ling and Li, 2003), it offers a number of important advantages. In particular, the bootstrap procedure does not require explicit estimation of nuisance parameters that enter the distribution of the test statistic and corrects the substantial size distortions of the asymptotic test that occur for strongly heteroskedastic processes. The simulation results demonstrate the excellent finite-sample properties of the bootstrap unit root test for a wide range of GARCH specifications.
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Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.002 | 0.000 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.001 | 0.000 |
| Bibliometrics | 0.002 | 0.002 |
| Science and technology studies | 0.000 | 0.000 |
| Scholarly communication | 0.000 | 0.001 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.001 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from it