Bootstrapping I(1) data

Peter Phillips

Journal of Econometrics, 2010, vol. 158, issue 2, 280-284

Abstract: A functional law is given for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001a). 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)
Date: 2010
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Citations: View citations in EconPapers (1)

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Working Paper: Bootstrapping I(1) Data (2009)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:158:y:2010:i:2:p:280-284

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