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.
β¦ LIBER β¦
Tests of integration in circular autoregressive models
β Scribed by Paolo Paruolo
- Publisher
- Springer
- Year
- 1998
- Tongue
- English
- Weight
- 585 KB
- Volume
- 7
- Category
- Article
- ISSN
- 1613-981X
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