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The Level and Power of the Bootstrap t Test in the AR(1) Model with Trend

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  • Nankervis, John C
  • Savin, N E
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    Abstract

    This paper considers a first-order autoregressive model which may include an intercept and trend where the innovations are independently and identically distributed. The innovation distribution is assumed unknown. The autoregressive parameter is tested using the conventional t statistic. The paper presents Monte Carlo estimates of the rejection probability of the test with bootstrap-based critical values. The results show that the test with the bootstrap-based critical value has essentially the right rejection probability for sample sizes comparable to or smaller than those which occur in practice and essentially the same power as the test with level-corrected critical values.

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    Bibliographic Info

    Article provided by American Statistical Association in its journal Journal of Business and Economic Statistics.

    Volume (Year): 14 (1996)
    Issue (Month): 2 (April)
    Pages: 161-68

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    Handle: RePEc:bes:jnlbes:v:14:y:1996:i:2:p:161-68

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    Cited by:
    1. Bruce E. Hansen, 1999. "The Grid Bootstrap And The Autoregressive Model," The Review of Economics and Statistics, MIT Press, vol. 81(4), pages 594-607, November.
    2. Dufour, J.M. & Torres, O., 2000. "Markovian Progresses, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes," Cahiers de recherche 2000-12, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. Paparoditis, Efstathios & Politis, Dimitris N., 2005. "Bootstrap hypothesis testing in regression models," Statistics & Probability Letters, Elsevier, vol. 74(4), pages 356-365, October.
    4. Joon Y. Park, 2000. "Bootstrap Unit Root Tests," Econometric Society World Congress 2000 Contributed Papers 1587, Econometric Society.
    5. Psaradakis, Zacharias, 2001. "On bootstrap inference in cointegrating regressions," Economics Letters, Elsevier, vol. 72(1), pages 1-10, July.
    6. Burridge, Peter & Robert Taylor, A. M., 2004. "Bootstrapping the HEGY seasonal unit root tests," Journal of Econometrics, Elsevier, vol. 123(1), pages 67-87, November.
    7. Park, Joon, 2003. "A Bootstrap Theory for Weakly Integrated Processes," Working Papers 2003-16, Rice University, Department of Economics.
    8. Harris, R. I. D. & Judge, G., 1998. "Small sample testing for cointegration using the bootstrap approach," Economics Letters, Elsevier, vol. 58(1), pages 31-37, January.

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