BIROn - Birkbeck Institutional Research Online

    Blockwise bootstrap testing for stationarity

    Psaradakis, Zacharias (2006) Blockwise bootstrap testing for stationarity. Statistics and Probability Letters 76 (6), pp. 562-570. ISSN 0167-7152.

    Full text not available from this repository.

    Abstract

    This paper proposes a bootstrap test for the null hypothesis that a stochastic process is stationary against the alternative hypothesis that it is integrated of order 1. The test is constructed by using a stationary bootstrap scheme, which involves resampling blocks of consecutive observations of random length. The first-order asymptotic correctness of the stationary bootstrap test is established for a large class of weakly dependent processes. The small-sample properties of the method are also investigated by means of Monte Carlo experiments.

    Metadata

    Item Type: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 20 Jul 2020 16:33
    Last Modified: 20 Jul 2020 16:33
    URI: https://eprints.bbk.ac.uk/id/eprint/32613

    Statistics

    Downloads
    Activity Overview
    0Downloads
    155Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item