Un test Bootstrap dans un modéle AR(1)

Patrice Bertail

Annals of Economics and Statistics, 1994, issue 36, 57-79

Abstract: We study a Bootstrap test of the unit-root hypothesis, based on residual resampling, in a simple AR (1) model. The Bootstrap is performed under the null hypothesis and under local alternatives which allows to construct a power function estimator: this avoids the non-stable properties of the Bootstrap observed in the non stationnary cases. We study the asymptotic validity of the method theoretically and give some empirical evidences by simulations.

Date: 1994
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Persistent link: https://EconPapers.repec.org/RePEc:adr:anecst:y:1994:i:36:p:57-79

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