Phillips, Peter C.B.
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).
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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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