Publication: Bootstrap tests for unit root AR(1) models
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1993-10
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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.
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Autoregressive processes, Bootstrapping least squares estimator, Unit root, Bootstrap invariance principle