CFDP 1689

Bootstrapping I(1) Data


Publication Date: January 2009

Pages: 11


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.


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

JEL Classification Codes:  C22

See CFP: 1310