Bootstrap Unit-Root Tests: Comparison and Extensions
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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Volume (Year): 29 (2008)
Issue (Month): 2 (March)
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- Paparoditis, Efstathios & Politis, Dimitris N, 2001. "Unit Root Testing via the Continuous-Path Block Bootstrap," University of California at San Diego, Economics Working Paper Series qt9qb4r775, Department of Economics, UC San Diego.
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- Parker, Cameron & Paparoditis, Efstathios & Politis, Dimitris N., 2006. "Unit root testing via the stationary bootstrap," Journal of Econometrics, Elsevier, vol. 133(2), pages 601-638, August.
- Paparoditis, Efstathios & Politis, Dimitris N., 2005. "Bootstrapping Unit Root Tests for Autoregressive Time Series," Journal of the American Statistical Association, American Statistical Association, vol. 100, pages 545-553, June. Full references (including those not matched with items on IDEAS)
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