Bootstrapping I(1) data
Publication Type
Journal Article
Publication Date
10-2010
Abstract
A functional law is given for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001a). The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.
Keywords
Asymptotic theory, Block bootstrap, Bootstrap, Brownian motion, Continuous path bootstrap, Embedding;Unit root
Discipline
Econometrics
Research Areas
Econometrics
Publication
Journal of Econometrics
Volume
158
Issue
2
First Page
280
Last Page
284
ISSN
0304-4076
Identifier
10.1016/j.jeconom.2010.01.010
Publisher
Elsevier
Citation
Peter C. B. PHILLIPS.
Bootstrapping I(1) data. (2010). Journal of Econometrics. 158, (2), 280-284.
Available at: https://ink.library.smu.edu.sg/soe_research/1821
Additional URL
https://doi.org/10.1016/j.jeconom.2010.01.010