Bootstrapping Autoregressive Processes with Possible Unit Roots
β Scribed by Atsushi Inoue; Lutz Kilian
- Book ID
- 108556098
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 137 KB
- Volume
- 70
- Category
- Article
- ISSN
- 0012-9682
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π SIMILAR VOLUMES
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.
For autoregressive processes with possibly inΓΏnite variance innovations, tests for unit roots are constructed. The limiting null distributions of the test statistics are standard normal both for ΓΏnite variance innovations and for inΓΏnite variance innovations. The test statistics are the pivotal stat