A Sieve Bootstrap For The Test Of A Unit Root
نویسندگان
چکیده
منابع مشابه
A Sieve Bootstrap for the Test of a Unit Root1
In this paper, we consider a sieve bootstrap for the test of a unit root in models driven by general linear processes. The given model is ...rst approximated by a ...nite autoregressive integrated process of order increasing with the sample size, and then the method of bootstrap is applied for the approximated autoregression to obtain the critical values for the usual unit root tests. The resul...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2003
ISSN: 0143-9782
DOI: 10.1111/1467-9892.00312