Bootstrap Tests for an Autoregressive Unit Root in the Presence of Weakly Dependent Errors

Zacharias Psaradakis

Journal of Time Series Analysis, 2001, vol. 22, issue 5, 577-594

Abstract: This paper examines bootstrap tests of the null hypothesis of an autoregressive unit root in models that may include a linear rend and/or an intercept and which are driven by innovations that belong to the class of stationary and invertible linear processes. Our approach makes use of a sieve bootstrap procedure based on residual resampling from autoregressive approximations, the order of which increases with the sample size at a suitable rate. We show that the sieve bootstrap provides asymptotically valid tests of the unit‐root hypothesis and demonstrate the small‐sample effectiveness of the method by means of simulation.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:22:y:2001:i:5:p:577-594

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