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.
โฆ LIBER โฆ
Likelihood Ratio Tests for Seasonal Unit Roots
โ Scribed by Richard J. Smith; A. M. Robert Taylor
- Book ID
- 108549384
- Publisher
- John Wiley and Sons
- Year
- 1999
- Tongue
- English
- Weight
- 368 KB
- Volume
- 20
- Category
- Article
- ISSN
- 0143-9782
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