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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/3733
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| Title: | Bootstrap tests for unit root AR(1) models |
| Author(s): | Ferretti, Nélida
Romo, Juan |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | Oct-1993 |
| URI: | http://hdl.handle.net/10016/3733 |
| 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. |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics
1993-22-17 |
| Keywords: | Autoregressive processes
Bootstrapping least squares estimator
Unit root
Bootstrap invariance principle |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
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