A bootstrap approximation to a unit root test statistic for heavy-tailed observations

Lajos Horvath and Piotr Kokoszka

Statistics & Probability Letters, 2003, vol. 62, issue 2, 163-173

Abstract: In the context of the AR(1) model with innovations in the domain of attraction of an [alpha]-stable law, we develop a residual bootstrap approximation to the distribution of a least-squares estimator of the autoregressive parameter when this parameter is equal to unity. Our procedure requires drawing bootstrap samples of size m [infinity] and m/n-->0. An analogous result is established for the partial sum process of the bootstrap noise sequence.

Keywords: Bootstrap; Heavy; tails; Stable; distribution; Unit; root (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (10)

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