CFDP 1689
Bootstrapping I(1) Data
Author(s):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