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| we9222.pdf | -- 2008-08-22 -- Available on Internet -- preprint | 260,4 kB | Adobe PDF | |  |
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| Title: | Bootstrapping unit root AR(1) models |
| Author(s): | Ferretti, Nélida
Romo, Juan |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Economía |
| Issued date: | May-1992 |
| URI: | http://hdl.handle.net/10016/2832 |
| Abstract: | We propose abootstrap resampling scheme for the least squares estimator of the parameter of an unstable first-order autoregressive model and we prove its asymptotic validity. This method is alternative to the invalid one studied by Basawa et al. (1991). |
| Serie / Nº.: | working Papers
1992-22 |
| Keywords: | Autoregressive processes
Bootstrapping least squares estimator
Unit root
Bootstrap invariance principle |
| Appears in Collections: | Economists Online
DE - Working Papers. Economics. WE
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