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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Main Author: Peter C. B. PHILLIPS
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2010
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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
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spelling sg-smu-ink.soe_research-28202020-01-23T01:04:34Z Bootstrapping I(1) data Peter C. B. PHILLIPS, 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. 2010-10-01T07:00:00Z text https://ink.library.smu.edu.sg/soe_research/1821 info:doi/10.1016/j.jeconom.2010.01.010 https://doi.org/10.1016/j.jeconom.2010.01.010 Research Collection School Of Economics eng Institutional Knowledge at Singapore Management University Asymptotic theory Block bootstrap Bootstrap Brownian motion Continuous path bootstrap Embedding;Unit root Econometrics
institution Singapore Management University
building SMU Libraries
continent Asia
country Singapore
Singapore
content_provider SMU Libraries
collection InK@SMU
language English
topic Asymptotic theory
Block bootstrap
Bootstrap
Brownian motion
Continuous path bootstrap
Embedding;Unit root
Econometrics
spellingShingle Asymptotic theory
Block bootstrap
Bootstrap
Brownian motion
Continuous path bootstrap
Embedding;Unit root
Econometrics
Peter C. B. PHILLIPS,
Bootstrapping I(1) data
description 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.
format text
author Peter C. B. PHILLIPS,
author_facet Peter C. B. PHILLIPS,
author_sort Peter C. B. PHILLIPS,
title Bootstrapping I(1) data
title_short Bootstrapping I(1) data
title_full Bootstrapping I(1) data
title_fullStr Bootstrapping I(1) data
title_full_unstemmed Bootstrapping I(1) data
title_sort bootstrapping i(1) data
publisher Institutional Knowledge at Singapore Management University
publishDate 2010
url https://ink.library.smu.edu.sg/soe_research/1821
https://doi.org/10.1016/j.jeconom.2010.01.010
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