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Tests for real and complex unit roots in vector autoregressive models

โœ Scribed by Nyblom, Jukka; Suomala, Jaakko


Book ID
124129095
Publisher
Elsevier Science
Year
2014
Tongue
English
Weight
355 KB
Volume
130
Category
Article
ISSN
0047-259X

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โœ Zacharias Psaradakis ๐Ÿ“‚ Article ๐Ÿ“… 2000 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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.