Blockwise bootstrap testing for stationarity

Zacharias Psaradakis

Statistics & Probability Letters, 2006, vol. 76, issue 6, 562-570

Abstract: This paper proposes a bootstrap test for the null hypothesis that a stochastic process is stationary against the alternative hypothesis that it is integrated of order 1. The test is constructed by using a stationary bootstrap scheme, which involves resampling blocks of consecutive observations of random length. The first-order asymptotic correctness of the stationary bootstrap test is established for a large class of weakly dependent processes. The small-sample properties of the method are also investigated by means of Monte Carlo experiments.

Keywords: Bootstrap; test; Strong; mixing; Monte; Carlo; simulation; Resampling; Stationary; bootstrap (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (2)

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