Bootstrapping I(1) Data

Peter Phillips

No 1689, Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University

Abstract: A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.

Keywords: Asymptotic theory; Block bootstrap; Bootstrap; Brownian motion; Continuous path bootstrap; Embedding; Unit root (search for similar items in EconPapers)
JEL-codes: C22 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2009-01
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in Journal of Econometrics (October 2010), 158(2): 280-284

Downloads: (external link)
https://cowles.yale.edu/sites/default/files/files/pub/d16/d1689.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
Journal Article: Bootstrapping I(1) data (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cwl:cwldpp:1689

Ordering information: This working paper can be ordered from
Cowles Foundation, Yale University, Box 208281, New Haven, CT 06520-8281 USA
The price is None.

Access Statistics for this paper

More papers in Cowles Foundation Discussion Papers from Cowles Foundation for Research in Economics, Yale University Yale University, Box 208281, New Haven, CT 06520-8281 USA. Contact information at EDIRC.
Bibliographic data for series maintained by Brittany Ladd ().