BIROn - Birkbeck Institutional Research Online

    A sieve bootstrap test for stationarity

    Psaradakis, Zacharias (2003) A sieve bootstrap test for stationarity. Statistics and Probability Letters 62 (3), pp. 263-274. ISSN 0167-7152.

    Full text not available from this repository.

    Abstract

    This paper proposes a bootstrap test for testing the null hypothesis that a time series is stationary against the alternative hypothesis that it is integrated of order one. Our approach makes use of a sieve bootstrap scheme based on residual resampling from autoregressive approximations the order of which increases with the sample size at a suitable rate. The first-order asymptotic correctness of the sieve bootstrap for testing the stationarity hypothesis is established for a subclass of linear 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: 21 Jul 2020 08:53
    Last Modified: 21 Jul 2020 08:53
    URI: https://eprints.bbk.ac.uk/id/eprint/32621

    Statistics

    Downloads
    Activity Overview
    0Downloads
    60Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item