Bootstrap tests for unit roots in seasonal autoregressive models

Zacharias Psaradakis

Statistics & Probability Letters, 2000, vol. 50, issue 4, 389-395

Abstract: 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.

Keywords: Bootstrap; Hypothesis; testing; Least-squares; estimator; Seasonal; autoregressive; model; Unit; roots (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (2)

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