COWLES FOUNDATION FOR RESEARCH IN ECONOMICS
AT YALE UNIVERSITY

Box 208281
New Haven, CT 06520-8281

COWLES FOUNDATION DISCUSSION PAPER NO. 1689

Bootstrapping I(1) Data

Peter C.B. Phillips

January 2009

A functional law for an I(1) sample data version of the continuous-path block bootstrap of Paparoditis and Politis (2001) is given. The results provide an alternative demonstration that continuous-path block bootstrap unit root tests are consistent under the null.

JEL Classification: C22

Keywords: Asymptotic theory, Block bootstrap, Bootstrap, Brownian motion, Continuous path bootstrap, Embedding, Unit root