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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Institutional Knowledge at Singapore Management University
2010
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| 在線閱讀: | https://ink.library.smu.edu.sg/soe_research/1821 https://doi.org/10.1016/j.jeconom.2010.01.010 |
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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 |
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Singapore Management University |
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SMU Libraries |
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Asia |
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Singapore Singapore |
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SMU Libraries |
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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 |
| _version_ |
1770572934248660992 |