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
On LM type tests for seasonal unit roots in quarterly data
โ Scribed by Paulo Rodrigues
- Book ID
- 108513081
- Publisher
- John Wiley and Sons
- Year
- 2002
- Tongue
- English
- Weight
- 133 KB
- Volume
- 5
- Category
- Article
- ISSN
- 1368-4221
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