Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- 1 January 1991
- journal article
- research article
- Published by Taylor & Francis in Communications in Statistics - Theory and Methods
- Vol. 20 (3) , 1015-1026
- https://doi.org/10.1080/03610929108830545
Abstract
The asymptotic validity of the bootstrap for a test of criticality in a first order autoregressive, AR(1) process is established. To circumvent the asymptotic invalidity of the standard bootstrap least squares estimator for the unstable case, a sequential bootstrap procedure for the estimation of the parameter β in the AR(1) model , is studied. The asymptotic validity of the sequential bootstrap estimator is established for all |β|≤1.Keywords
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