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Linear process bootstrap unit root test

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  • Zou, Nan
  • Politis, Dimitris N.

Abstract

One of the most widely applied unit root tests suffers from size distortions when moving average noise exists. As a remedy, this paper proposes a bootstrap test targeting moving average noise and shows its effectiveness in both theory and simulation.

Suggested Citation

  • Zou, Nan & Politis, Dimitris N., 2019. "Linear process bootstrap unit root test," Statistics & Probability Letters, Elsevier, vol. 145(C), pages 74-80.
    • Handle: RePEc:eee:stapro:v:145:y:2019:i:c:p:74-80
    DOI: 10.1016/j.spl.2018.08.006
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    References listed on IDEAS

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