𝔖 Bobbio Scriptorium
✦   LIBER   ✦

Distribution Approximation of Unit Root Tests in Autoregressive Models

✍ Scribed by Rolf Larsson

Book ID
108513072
Publisher
John Wiley and Sons
Year
1998
Tongue
English
Weight
209 KB
Volume
1
Category
Article
ISSN
1368-4221

No coin nor oath required. For personal study only.

πŸ“œ SIMILAR VOLUMES

Bootstrap tests for unit roots in season
Bootstrap tests for unit roots in seasonal autoregressive models
✍ Zacharias Psaradakis πŸ“‚ Article πŸ“… 2000 πŸ› Elsevier Science 🌐 English βš– 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.