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Bootstrap tests for unit roots in seasonal autoregressive models

✍ Scribed by Zacharias Psaradakis

Publisher
Elsevier Science
Year
2000
Tongue
English
Weight
101 KB
Volume
50
Category
Article
ISSN
0167-7152

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✦ Synopsis

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.

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