The Continuous - Path Block - Bootstrap
نویسنده
چکیده
The situation where the available data arise from a general linear process with a unit root is discussed. We propose a modi cation of the Block Bootstrap which generates replicates of the original data and which correctly imitates the unit root behavior and the weak dependence structure of the observed series. Validity of the proposed method for estimating the unit root distribution is shown. Research supported by NSF Grant DMS-97-03964 and by a University of Cyprus Research Grant.
منابع مشابه
Bootstrapping I(1) data
A functional law is given for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001a). The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null. © 2010 Elsevier B.V. All rights reserved.
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