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Activity Number: 242
Type: Contributed
Date/Time: Monday, August 10, 2015 : 2:00 PM to 3:50 PM
Sponsor: Business and Economic Statistics Section
Abstract #316048 View Presentation
Title: Test Seasonal Unit Root with Seasonal Block Bootstrap
Author(s): Nan Zou* and Dimitris Politis
Companies: UC San Diego and UC San Diego
Keywords: seasonal ; unit root ; semi-parametric ; bootstrap
Abstract:

When testing seasonal unit roots in a semi-parametric setting, the block bootstrap method is not directly applicable if the innovations have periodic components.

In this talk we propose seasonal block bootstrap seasonal unit root test as a remedy, with illustrations of its asymptotic consistency and finite sample behavior.

Authors who are presenting talks have a * after their name.

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