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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Official URL: https://doi.org/10.1016/j.spl.2005.09.001

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

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