Psaradakis, Zacharias (2001) Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors. Journal of Time Series Analysis 22 (5), pp. 577-594. ISSN 0143-9782.
Abstract
This paper examines bootstrap tests of the null hypothesis of an autoregressive unit root in models that may include a linear rend and/or an intercept and which are driven by innovations that belong to the class of stationary and invertible linear processes. Our approach makes use of a sieve bootstrap procedure based on residual resampling from autoregressive approximations, the order of which increases with the sample size at a suitable rate. We show that the sieve bootstrap provides asymptotically valid tests of the unit‐root hypothesis and demonstrate the small‐sample effectiveness of the method by means of simulation.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 21 Jul 2020 10:03 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32628 |
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