In this paper, we consider a sieve bootstrap for the test of a unit root in models driven by general linear processes. The given model is first approximated by a finite autoregressive integrated process of order increasing with the sample size, and then the method of bootstrap is applied for the...

We consider a cointegrating regression in which the integrated regressors are messy in the sense that they contain data that may be mismeasured, missing, observed at mixed frequencies or have other irregularities that cause the econometrician to observe them with mildly nonstationary noise....