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Testing for individual effects in autoregressive models

✍ Scribed by Douglas Holtz-Eakin

Publisher
Elsevier Science
Year
1988
Tongue
English
Weight
673 KB
Volume
39
Category
Article
ISSN
0304-4076

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Bootstrap tests for unit roots in season
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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.