The Level and Power of the Bootstrap t Test in the AR(1) Model with Trend
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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
Volume (Year): 14 (1996)
Issue (Month): 2 (April)
|Contact details of provider:|| Web page: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main|
|Order Information:||Web: http://www.amstat.org/publications/index.html|