Bootstrap tests for unit root AR(1) models

Nélida Ferretti

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: In this paper, we propose bootstrap tests for unit roots in first-order autoregressive models. We provide the bootstrap functional limit theory needed to prove the asymptotic validity of these tests both for independent and autoregressive errors; in this case, the usual corrections due to innovations dependence can be avoided. We also present a power empirical study comparing these tests with existing alternative methods.

Keywords: Autoregressive; processes; Bootstrapping; least; squares; estimator; Unit; root; Bootstrap; invariance; principle (search for similar items in EconPapers)
Date: 1993-10
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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:3733

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