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Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors


  • Nikolay Gospodinov
  • Ye Tao


This article proposes a bootstrap unit root test in models with GARCH(1,1) errors and establishes its asymptotic validity under mild moment and distributional restrictions. While the proposed bootstrap test for a unit root shares the power enhancing properties of its asymptotic counterpart (Ling and Li, 2003), it offers a number of important advantages. In particular, the bootstrap procedure does not require explicit estimation of nuisance parameters that enter the distribution of the test statistic and corrects the substantial size distortions of the asymptotic test that occur for strongly heteroskedastic processes. The simulation results demonstrate the excellent finite-sample properties of the bootstrap unit root test for a wide range of GARCH specifications.

Suggested Citation

  • Nikolay Gospodinov & Ye Tao, 2011. "Bootstrap Unit Root Tests in Models with GARCH(1,1) Errors," Econometric Reviews, Taylor & Francis Journals, vol. 30(4), pages 379-405, August.
  • Handle: RePEc:taf:emetrv:v:30:y:2011:i:4:p:379-405 DOI: 10.1080/07474938.2011.553538

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    References listed on IDEAS

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    Cited by:

    1. Reboredo, Juan C., 2012. "Do food and oil prices co-move?," Energy Policy, Elsevier, vol. 49(C), pages 456-467.

    More about this item

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes


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