Bootstrapping I(1) data

Bootstrapping I(1) data

A functional law is given for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001a). The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.

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Bibliographic Details
Main Author: Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
Subjects:
Asymptotic theory
Block bootstrap
Bootstrap
Brownian motion
Continuous path bootstrap
Embedding;Unit root
Econometrics
Online Access:https://ink.library.smu.edu.sg/soe_research/1821
https://doi.org/10.1016/j.jeconom.2010.01.010
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Institution: Singapore Management University
Language: English
Description
Summary:A functional law is given for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001a). The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.

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