Sieve Bootstrap Test for Changes between Unit Root Process and Fractional Integrated Processes
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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In this paper we will investigate the consequences of applying the sieve bootstrap under regularity conditions that are sufficiently general to encompass both fractionally integrated and non-invertible processes. The sieve bootstrap is obtained by approximating the data generating process by an autoregression whose order h increases with the sample size T . The sieve bootstrap may be particular...
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ژورنال
عنوان ژورنال: Statistics and Application
سال: 2018
ISSN: 2325-2251,2325-226X
DOI: 10.12677/sa.2018.72014