Blockwise bootstrap testing for stationarity

This paper proposes it bootstrap test for the Mill hypothesis that a Stochastic process is stationary against the alternative hypothesis that it is integrated of order 1. The test is constructed by Using a stationary bootstrap scheme, which involves resampling blocks of consecutive observations of random length. The first-order asymptotic correctness of the stationary bootstrap test is established for it large class of weakly dependent processes. The small-sample properties of the method are also investigated by means of Monte Carlo experiments. (c) 2005 Elsevier B.V. All rights reserved.