Bootstrap tests for unit roots in seasonal autoregressive models |
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| Authors: | Zacharias Psaradakis |
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| Affiliation: | School of Economics, Mathematics and Statistics, Birkbeck College, University of London, 7-15 Gresse Street, London W1P 2LL, UK |
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| Abstract: | This paper proposes bootstrap tests for the presence of unit roots in a seasonal autoregressive model. The asymptotic validity of the proposed bootstrap scheme is established, and Monte Carlo experiments are used to investigate the small-sample performance of the tests. |
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| Keywords: | Bootstrap Hypothesis testing Least-squares estimator Seasonal autoregressive model Unit roots |
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