Bootstrap tests for unit roots in seasonal autoregressive models

Statistics and Probability Letters

Volumn 50, Issue 4, 2000, Pages 389-395

  Psaradakis, Zacharias ^a  

^a UNIVERSITY OF LONDON   (United Kingdom)

Author keywords

Bootstrap; Hypothesis testing; Least squares estimator* Seasonal autoregressive model; Unit roots

Indexed keywords

EID: 0038539259     PISSN: 01677152     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0167-7152(00)00128-0     Document Type: Article

References (12)

1. Basawa I.V., Mallik A.K., McCormick W.P., Reeves J.H., Taylor R.L. Bootstrapping unstable first-order autoregressive processes. Ann. Statist. 19:1991;1098-1101.
2. Basawa I.V., Mallik A.K., McCormick W.P., Reeves J.H., Taylor R.L. Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes. Comm. Statist. Theory Methods. 20:1991;1015-1026.
3. Bickel P.J., Freedman D.A. Some asymptotic theory for the bootstrap. Ann. Statist. 9:1981;1196-1217.
4. Billingsley P. Convergence of Probability Measures. 2nd Edition:1999;Wiley, New York.
5. Bose A. Edgeworth correction by bootstrap in autoregressions. Ann. Statist. 16:1988;1709-1722.
6. Box G.P.E., Jenkins G.M. Time Series Analysis: Forecasting and Control. 1970;Holden-Day, San Francisco, CA.
7. Datta S. On asymptotic properties of bootstrap for AR(1) processes. J. Statist. Plann. Inference. 53:1996;361-374.
8. Dickey D.A., Hasza D.P., Fuller W.A. Testing for unit roots in seasonal time series. J. Amer. Statist. Assoc. 79:1984;355-367.
9. Ferretti N., Romo J. Unit root bootstrap tests for AR(1) models. Biometrika. 83:1996;849-860.
10. Ghysels, E., Osborn, D.R., Rodrigues, P.M.M., 2000. Seasonal nonstationarity and near-nonstationarity, in: B.H. Baltagi (Ed.), A Companion to Theoretical Econometrics, Blackwell Publishers, Oxford.
11. Psaradakis, Z., 1999. Bootstrap tests for an autoregressive unit root in the presence of weakly dependent errors, manuscript, School of Economics, Mathematics and Statistics, Birkbeck College, University of London.
12. Tanaka K. Time Series Analysis: Nonstationary and Noninvertible Distribution Theory. 1996;Wiley, New York.