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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), pp. 280-284. (doi:10.1016/j.jeconom.2010.01.010).

Record type: Article

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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More information

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

Catalogue record

Date deposited: 04 Jun 2010 13:30
Last modified: 18 Jul 2017 12:41

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