Bootstrapping I(1) Data
Phillips, Peter C.B. (2010) Bootstrapping I(1) Data. Journal of Econometrics (In Press).
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Description/Abstract
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.
| Item Type: | Article |
|---|---|
| ISSNs: | 0304-4076 (print) |
| Related URLs: | |
| Keywords: | asymptotic theory, block bootstrap, bootstrap, brownian motion, continuous path bootstrap, embedding, unit root |
| Subjects: | H Social Sciences > HB Economic Theory |
| Divisions: | University Structure - Pre August 2011 > School of Social Sciences > Economics |
| Item ID: | 157281 |
| Date Deposited: | 04 Jun 2010 13:30 |
| Last Modified: | 01 Jun 2011 05:49 |
| Contributors: | Phillips, Peter C.B. (Author) |
| Date: | 2010 |
| Status: | In Press |
| URI: | http://eprints.soton.ac.uk/id/eprint/157281 |
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