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    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.

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    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.


    Item Type: Article
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Depositing User: Sarah Hall
    Date Deposited: 20 Jul 2020 16:33
    Last Modified: 02 Aug 2023 18:01


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