In this paper, we consider two bootstrap algorithms for testing unit roots under the condition that the observed process is unit root integrated. The first method consists of generating the resampled data after fitting an autoregressive model to the first differences of the observations. The...

We show that the asymptotic distribution of the estimated stationary roots in a vector autoregressive model is Gaussian. A simple expression for the asymptotic variance in terms of the roots and the eigenvectors of the companion matrix is derived. The results are extended to the cointegrated...