on the asymptotic properties of some seasonal unit root tests

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1、BootstrappingUnitRootTestsforAutoregressiveTimeSeriesAuthor(s):EfstathiosPaparoditisandDimitrisN.PolitisReviewedwork(s):Source:JournaloftheAmericanStatisticalAssociation,Vol.100,No.470(Jun.,2005),pp.545-553Publishedby:AmericanStatisticalAssociationStableURL:http:/

2、/www.jstor.org/stable/27590576.Accessed:01/12/201208:59YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jsp.JSTORisanot-for-profitservicethathelpsscholars,researchers,andstude

3、ntsdiscover,use,andbuilduponawiderangeofcontentinatrusteddigitalarchive.Weuseinformationtechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org..AmericanStatisticalAssociationiscollabor

4、atingwithJSTORtodigitize,preserveandextendaccesstoJournaloftheAmericanStatisticalAssociation.http://www.jstor.orgThiscontentdownloadedbytheauthorizeduserfrom192.168.52.78onSat,1Dec201208:59:51AMAllusesubjecttoJSTORTermsandConditionsBootstrappingUnitRootTestsforAut

5、oregressiveTimeSeriesEfstathiosPaparoditisandDimitrisN.PolitisThetheorydevelopedforbootstrappingunitroottestsinanautoregressive(AR)contexthasbeenconcernedmainlywiththelarge-samplebehaviorofthemethodsproposedundertheassumptionthatthenullhypothesisistrue.Noresultsex

6、istfortherelativeperformanceandthepowerbehaviorofthebootstrapmethodsunderthealternative.ThisarticlestudiesthepropertiesofdifferentARbootstrapschemesoftheunitroothypothesis,includinganewproposalbasedonunrestrictedresiduals.Itshowsthatbootstrapproceduresbasedondiffe

7、rencingtheobservedseriessufferfrompowerproblemsascomparedwithbootstrapproceduresbasedonunrestrictedresiduals.WhereasforfiniteorderARprocessesdifferencingleadstojustalossofpower,forinfinite-orderautoregressionssuchadifferencingmakestheapplicationofsieveARbootstraps

8、chemesinappropriateifthealternativeistrue.Thesuperiorityofthenewbootstrapproposalisshown,andsomenumericalexamplesillustrateourtheoreticalfindings.KEYWOR