A Sieve Bootstrap for the Test of a Unit Root

@inproceedings{Chang2001ASB,
  title={A Sieve Bootstrap for the Test of a Unit Root},
  author={Yoosoon Chang},
  year={2001}
}
In this paper, we consider a sieve bootstrap for the test of a unit root in models driven by general linear processes. The given model is ...rst approximated by a ...nite autoregressive integrated process of order increasing with the sample size, and then the method of bootstrap is applied for the approximated autoregression to obtain the critical values for the usual unit root tests. The resulting tests, which may simply be viewed as the bootstrapped versions of Augmented-Dickey-Fuller (ADF… CONTINUE READING
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