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Bayesian Unit Root Test in Nonnormal AR(1) Model

✍ Scribed by Hikaru Hasegawa; Anoop Chaturvedi; Tran Van Hoa


Book ID
108549420
Publisher
John Wiley and Sons
Year
2000
Tongue
English
Weight
219 KB
Volume
21
Category
Article
ISSN
0143-9782

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This paper proposes bootstrap tests for the presence of unit roots in a seasonal autoregressive model. The asymptotic validity of the proposed bootstrap scheme is established, and Monte Carlo experiments are used to investigate the small-sample performance of the tests.