Bootstrapping I(1) data


Phillips, Peter C.B. (2010) Bootstrapping I(1) data. [in special issue: Specification Analysis in Honor of Phoebus J. Dhrymes] Journal of Econometrics, 158, (2), 280-284. (doi:10.1016/j.jeconom.2010.01.010).

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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)
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
ePrint ID: 157281
Date Deposited: 04 Jun 2010 13:30
Last Modified: 27 Mar 2014 19:14
URI: http://eprints.soton.ac.uk/id/eprint/157281

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