Skip Navigation

Biometrika 1996 83(4):849-860; doi:10.1093/biomet/83.4.849
© 1996 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by FERRETTI, N.
Right arrow Articles by ROMO, J.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Unit root bootstrap tests for AR (1) models

NELIDA FERRETTI and JUAN ROMO

Universidad de la Plata and CONICET C.C. No. 172, 1900 La Plata, Argentina
Departamento de Estadistica y Econometria, Universidad Carlos III de Madrid 28903 Getafe, Madrid, Spain

We propose bootstrap tests for unit roots in first-order autoregressive models and we establish their asymptotic validity both for independent and for autoregressive errors; in this case, the bootstrap methodology directly approaches the asymptotic distribution, making unnecessary the usual corrections due to dependence of innovations. We also present a Monte Carlo power study comparing these tests with existing alternative methods. For small samples, the power of the bootstrap test outperforms that of previous proposals.

Key Words: Autoregressive process • Bootstrapping least squares estimator • Unit root


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.