Publication: Bootstrap tests for unit root AR(1) models
Loading...
Identifiers
Publication date
1993-10
Defense date
Authors
Advisors
Tutors
Journal Title
Journal ISSN
Volume Title
Publisher
Impact
Export
Abstract
In this paper, we propose bootstrap tests for unit roots in first-order autoregressive models. We provide the bootstrap functional limit theory needed to prove the asymptotic validity of these tests both for independent and autoregressive errors; in this case, the usual corrections due to innovations dependence can be avoided. We also present a power empirical study comparing these tests with existing alternative methods.
Description
Keywords
Autoregressive processes, Bootstrapping least squares estimator, Unit root, Bootstrap invariance principle