Bootstrapping I(1) data

• المؤلف الرئيسي: Peter C. B. PHILLIPS
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: Asymptotic theory; Block bootstrap; Bootstrap; Brownian motion; Continuous path bootstrap; Embedding;Unit root; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/1821; https://doi.org/10.1016/j.jeconom.2010.01.010

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.