Bootstrapping I(1) data

• 主要作者: Peter C. B. PHILLIPS
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2010
• 主題: Asymptotic theory; Block bootstrap; Bootstrap; Brownian motion; Continuous path bootstrap; Embedding;Unit root; Econometrics
• 在線閱讀: 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.