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

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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.

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Authors and Affiliations

  1. Department of Mathematics, Zhejiang University, Hangzhou, 310027, Peoples Republic of China

    Li-Xin Zhang & Xiao-Rong Yang

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  1. Li-Xin Zhang
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  2. Xiao-Rong Yang
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Correspondence to Xiao-Rong Yang.

Additional information

Research supported by National Natural Science Foundation of China (No. 10471126)

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Zhang, LX., Yang, XR. The Limit Distribution of the Bootstrap for the Unit Root Test Statistic when the Residuals are Dependent. Metrika 65, 195–206 (2007). https://doi.org/10.1007/s00184-006-0070-y

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  • DOI: https://doi.org/10.1007/s00184-006-0070-y

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