.png){kind=icon}
返回
Unit root testing via the stationary bootstrap
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jeconom.2005.06.008.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
A nonparametric, residual-based stationary bootstrap procedure is proposed for unit root testing in a time series. The procedure generates a pseudoseries which mimics the original, but ensures the presence of a unit root. Unlike many others in the literature, the proposed test is valid for a wide class of weakly dependent processes and is not based on parametric assumptions on the data-generating process. Large sample theory is developed and asymptotic validity is shown via a bootstrap functional central limit theorem. The case of a least squares statistic is discussed in detail, including simulations to investigate the procedure's finite sample performance. (c) 2005 Elsevier B.V. All rights reserved.
Keyword:
autocorrelation
integrated time series
resampling
stationary bootstrap
unit root testing
AI总结
对已上传原文的论文进行重点信息的提取，主要内容包括：简要概述、研究摘要、背景介绍、关键亮点、图文解析、展望与总结。