The Limit Distribution of the Bootstrap for the Unit Root Test Statistic when the Residuals are Dependent |
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Authors: | Li-Xin Zhang Xiao-Rong Yang |
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Institution: | (1) Department of Mathematics, Zhejiang University, Hangzhou, 310027, Peoples Republic of China |
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Abstract: | 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.
Research supported by National Natural Science Foundation of China (No. 10471126) |
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Keywords: | Asymptotic normality Dependent random variables Unit root Bootstrap |
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