Bootstrapping unit root AR(1) models

Nélida Ferretti

UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía

Abstract: We propose abootstrap resampling scheme for the least squares estimator of the parameter of an unstable first-order autoregressive model and we prove its asymptotic validity. This method is alternative to the invalid one studied by Basawa et al. (1991).

Keywords: Autoregressive; processes; Bootstrapping; least; squares; estimator; Unit; root; Bootstrap; invariance; principle (search for similar items in EconPapers)
Date: 1992-05
References: View complete reference list from CitEc
Citations:

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... 1d4c179da4ef/content (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cte:werepe:2832

Access Statistics for this paper

More papers in UC3M Working papers. Economics from Universidad Carlos III de Madrid. Departamento de Economía
Bibliographic data for series maintained by Ana Poveda ().