A bootstrap approximation to a unit root
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Lajos HorvΓ‘th; Piotr Kokoszka
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Article
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2003
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Elsevier Science
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English
β 167 KB
In the context of the AR(1) model with innovations in the domain of attraction of an -stable law, we develop a residual bootstrap approximation to the distribution of a least-squares estimator of the autoregressive parameter when this parameter is equal to unity. Our procedure requires drawing boots