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Bootstrap Unit-Root Tests: Comparison and Extensions

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Author Info
Franz C. Palm
Stephan Smeekes
Jean-Pierre Urbain

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Abstract

In this article, we study and compare the properties of several bootstrap unit-root tests recently proposed in the literature. The tests are Dickey-Fuller (DF) or Augmented DF, based either on residuals from an autoregression and the use of the block bootstrap or on first-differenced data and the use of the stationary bootstrap or sieve bootstrap. We extend the analysis by interchanging the data transformations (differences vs. residuals), the types of bootstrap and the presence or absence of a correction for autocorrelation in the tests. Copyright 2008 The Authors

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File URL: http://www.blackwell-synergy.com/doi/abs/10.1111/j.1467-9892.2007.00565.x
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Publisher Info
Article provided by Blackwell Publishing in its journal Journal of Time Series Analysis.

Volume (Year): 29 (2008)
Issue (Month): 2 (03)
Pages: 371-401
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Handle: RePEc:bla:jtsera:v:29:y:2008:i:2:p:371-401

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. John Geanakoplos & Martin Shubik, 1989. "The Capital Asset Pricing Model as a General Equilibrium with Incomplete Markets," Cowles Foundation Discussion Papers 913, Cowles Foundation, Yale University. [Downloadable!]
  2. Acerbi, Carlo, 2002. "Spectral measures of risk: A coherent representation of subjective risk aversion," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1505-1518, July. [Downloadable!] (restricted)
  3. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July. [Downloadable!] (restricted)
  4. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July. [Downloadable!] (restricted)
  5. Magill, Michael & Shafer, Wayne, 1991. "Incomplete markets," Handbook of Mathematical Economics, in: W. Hildenbrand & H. Sonnenschein (ed.), Handbook of Mathematical Economics, edition 1, volume 4, chapter 30, pages 1523-1614 Elsevier. [Downloadable!] (restricted)
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  1. Patrick Richard, 2008. "Modified Fast Double Sieve Bootstraps for ADF Tests," Cahiers de recherche 08-17, Departement d'Economique de la Faculte d'administration à l'Universite de Sherbrooke. [Downloadable!]
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  2. Andrea, SILVESTRINI, 2007. "Testing fiscal sustainability in Poland : a Bayesian analysis of cointegration," Discussion Papers (ECON - Département des Sciences Economiques) 2007040, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]
    Other versions:
  3. Palm, Franz C. & Smeekes, Stephan & Urbain, Jean-Pierre, 2007. "A Sieve Bootstrap Test for Cointegration in a Conditional Error Correction Model," Research Memoranda 054, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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