A Sieve Bootstrap For The Test Of A Unit Root
In this paper, we consider a sieve bootstrap for the test of a unit root in models driven by general linear processes. The given model is first approximated by a finite autoregressive integrated process of order increasing with the sample size, and then the method of bootstrap is applied for the approximated autoregression to obtain the critical values for the usual unit root tests. The resulting tests, which may simply be viewed as the bootstrapped versions of Augmented Dickey-Fuller (ADF) unit root tests by Said and Dickey (1984), are shown to be consistent under very general conditions. The asymptotic validity of the bootstrap ADF unit root tests is thus established. Our conditions are significantly weaker than those used by Said and Dickey. Simulations show that bootstrap provides substantial improvements on finite sample sizes of the tests. Copyright 2003 Blackwell Publishing Ltd.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 24 (2003)
Issue (Month): 4 (July)
|Contact details of provider:|| Web page: http://www.blackwellpublishing.com/journal.asp?ref=0143-9782|
|Order Information:||Web: http://www.blackwellpublishing.com/subs.asp?ref=0143-9782|
When requesting a correction, please mention this item's handle: RePEc:bla:jtsera:v:24:y:2003:i:4:p:379-400. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.