Bootstrapping I(1) data
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.
asymptotic theory, block bootstrap, bootstrap, brownian motion, continuous path bootstrap, embedding, unit root
280-284
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
October 2010
Phillips, Peter C.B.
f67573a4-fc30-484c-ad74-4bbc797d7243
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), .
(doi:10.1016/j.jeconom.2010.01.010).
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.
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e-pub ahead of print date: 25 January 2010
Published date: October 2010
Keywords:
asymptotic theory, block bootstrap, bootstrap, brownian motion, continuous path bootstrap, embedding, unit root
Identifiers
Local EPrints ID: 157281
URI: http://eprints.soton.ac.uk/id/eprint/157281
ISSN: 0304-4076
PURE UUID: 94053e2d-a904-40fd-a3cb-6f66e66b7cd7
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Date deposited: 04 Jun 2010 13:30
Last modified: 14 Mar 2024 01:46
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