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Exact and bootstrap distributions of a unit root test

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  • Kazuhiro Ohtani

Abstract

Using Imhof's method, the exact distribution of a unit root test is evaluated and detailed critical values are given of the unit root test when the sample size is small and moderate. Then, the bootstrap critical values are generated by Monte Carlo experiments, and compared with the exact ones. The Monte Carlo results show that the bootstrap critical values are reasonably precise. It is also shown that the parametric bootstrap tends to yield more precise estimates of the percentiles than the nonparametric bootstrap.

Suggested Citation

  • Kazuhiro Ohtani, 2000. "Exact and bootstrap distributions of a unit root test," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 463-466.
    • Handle: RePEc:taf:apeclt:v:7:y:2000:i:7:p:463-466
    DOI: 10.1080/135048500351195
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    References listed on IDEAS

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    1. Guilkey, David K. & Schmidt, Peter, 1989. "Extended tabulations for Dickey-Fuller tests," Economics Letters, Elsevier, vol. 31(4), pages 355-357, December.
    2. Daniela De Angelis & Stefano Fachin & G. Alastair Young, 1997. "Bootstrapping unit root tests," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1155-1161.
    3. Evans, G B A & Savin, N E, 1981. "Testing for Unit Roots: 1," Econometrica, Econometric Society, vol. 49(3), pages 753-779, May.
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    Cited by:

    1. Irvin Tucker, 2004. "Pigskins and publications revisited," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 843-845.
    2. Liew, Venus Khim-Sen, 2008. "An overview on various ways of bootstrap methods," MPRA Paper 7163, University Library of Munich, Germany.
    3. Junya Masuda & Kazuhiro Ohtani, 2008. "Exact distribution and critical values of a unit root test when error terms are serially correlated," Applied Economics Letters, Taylor & Francis Journals, vol. 15(5), pages 359-362.

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