CFDP 1689

Bootstrapping I(1) Data

Author(s): 
Peter C. B. Phillips

Publication Date: January 2009

Pages: 11

Abstract: 

A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.

Keywords: 

Asymptotic theory, Block bootstrap, Bootstrap, Brownian motion, Continuous path bootstrap, Embedding, Unit root

JEL Classification Codes:  C22

See CFP: 1310