A new resampling procedure, the continuous-path block bootstrap, is proposed in the context of testing for integrated (unit root) time series. The continuous-path block bootstrap (CBB) is a nonparametric procedure that successfully generates unit root integrated pseudo time series retaining the...

We consider the problem of making inference for the autocorrelations of a time series in the possible presence of a unit root. Even when the underlying series is assumed to be strictly stationary, the robustness against a unit root is a desirable property to ensure good finite-sample coverage in...