Bootstrapping I(1) Data

A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.

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Year of publication:	2009-01
Authors:	Phillips, Peter C. B.
Institutions:	Cowles Foundation for Research in Economics, Yale University
Subject:	Asymptotic theory \| Block bootstrap \| Bootstrap \| Brownian motion \| Continuous path bootstrap \| Embedding \| Unit root

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Extent:	application/pdf
Series:	Cowles Foundation Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Published in Journal of Econometrics (October 2010), 158(2): 280-284 The price is None Number 1689 11 pages
Classification:	C22 - Time-Series Models
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005762605