Publication: Bootstrap tests for unit root AR(1) models
dc.affiliation.dpto | UC3M. Departamento de EstadĂstica | es |
dc.contributor.author | Ferretti, NĂ©lida | |
dc.contributor.author | Romo, Juan | |
dc.contributor.editor | Universidad Carlos III de Madrid. Departamento de EstadĂstica | es |
dc.date.accessioned | 2009-02-20T12:14:35Z | |
dc.date.available | 2009-02-20T12:14:35Z | |
dc.date.issued | 1993-10 | |
dc.description.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. | es |
dc.format.mimetype | application/pdf | |
dc.identifier.uri | https://hdl.handle.net/10016/3733 | |
dc.language.iso | eng | es |
dc.relation.ispartofseries | UC3M Working Papers. Statistics and Econometrics | es |
dc.relation.ispartofseries | 1993-22-17 | es |
dc.rights | AtribuciĂ³n-NoComercial-SinDerivadas 3.0 España | |
dc.rights.accessRights | open access | |
dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/es/ | |
dc.subject.eciencia | EstadĂstica | |
dc.subject.other | Autoregressive processes | es |
dc.subject.other | Bootstrapping least squares estimator | es |
dc.subject.other | Unit root | es |
dc.subject.other | Bootstrap invariance principle | es |
dc.title | Bootstrap tests for unit root AR(1) models | es |
dc.type | working paper | * |
dspace.entity.type | Publication |
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