The Limit Distribution of the Bootstrap for the Unit Root Test Statistic when the Residuals are Dependent

被引：0
作者：
Li-Xin Zhang
Xiao-Rong Yang
机构：
[1] Zhejiang University,Department of Mathematics
来源：
Metrika | 2007年 / 65卷
关键词：
Asymptotic normality; Dependent random variables; Unit root; Bootstrap;
D O I：
暂无
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学科分类号：
摘要：
In this article, the unit root test for the AR(1) model with dependent residuals is considered. We adopt a bootstrap procedure to bootstrap the residuals with bootstrap sample size m less than the size n of the original sample. Under the assumptions that m → ∞ and m/n → 0, the convergence in probability of the bootstrap distribution function is established.
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页码：195 / 206
页数：11
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