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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| Format: | text |
| Language: | English |
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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 |
| Language: | English |