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Abstract- The situation where the available data arise from a general linear process with a unit root is discussed. We propose a modi cation of the Block Bootstrap which generates replicates of the original data and which correctly imitates the unit root behavior and the weak dependence structure of the observed series. Validity of the proposed method for estimating the unit root distribution is shown. Research supported by NSF Grant DMS-97-03964 and by a University of Cyprus Research Grant.
Paparoditis et al. (Sat,) studied this question.