Bootstrap tests for unit roots in seasonal autoregressive models

Psaradakis, Zacharias (2000) Bootstrap tests for unit roots in seasonal autoregressive models. Statistics and Probability Letters 50 (4), pp. 389-395. ISSN 0167-7152.

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Official URL: https://doi.org/10.1016/S0167-7152(00)00128-0

Abstract

This paper proposes bootstrap tests for the presence of unit roots in a seasonal autoregressive model. The asymptotic validity of the proposed bootstrap scheme is established, and Monte Carlo experiments are used to investigate the small-sample performance of the tests.

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 12:20
Last Modified:	02 Aug 2023 18:01
URI:	https://eprints.bbk.ac.uk/id/eprint/32632

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