Using the Bootstrap technique and the sample autocorrelation function for the identification of unit root processes
>By Panagiotis Mantalos
By using a Bootstrap procedure and the function of sample autocorrelations of a time series, we are able to distinguish between a non-stationary integrated series of order one, I(1), from a stationary AR(1) process. We investigated our Bootstrap procedure by using a Monte Carlo method and by an empirical example. The results show that by using the Bootstrap average of the sample autocorrelations function, we can easily identify a non-stationary I(1).
Bootstrap, Co-integration, Sample Autocorrelations, Unit Root
Rob J. Hyndman
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