Bootstrapping I(1) data

A functional law is given for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001a). 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:	2010
Authors:	Phillips, Peter C.B.
Published in:	Journal of Econometrics. - Elsevier, ISSN 0304-4076. - Vol. 158.2010, 2, p. 280-284
Publisher:	Elsevier
Keywords:	Asymptotic theory Block bootstrap Bootstrap Brownian motion Continuous path bootstrap Embedding Unit root

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008866490