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Bootstrap Unit Root Tests

โœ Scribed by Joon Y. Park


Book ID
108556256
Publisher
John Wiley and Sons
Year
2003
Tongue
English
Weight
349 KB
Volume
71
Category
Article
ISSN
0012-9682

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Bootstrap tests for unit roots in season
โœ Zacharias Psaradakis ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 101 KB

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.