Bootstrapping unit root tests

C-Tier
Journal: Applied Economics
Year: 1997
Volume: 29
Issue: 9
Pages: 1155-1161

Authors (3)

Daniela De Angelis (not in RePEc) Stefano Fachin G. Alastair Young (not in RePEc)

Score contribution per author:

0.335 = (α=2.01 / 3 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Unit root tests have been known for a long time to suffer from a variety of problems. Considering that simulation methods are obvious candidates for solving some of these problems, the aim of this paper is to assess the performance of bootstrap tests of the unit root hypothesis of the Dickey-Fuller type. The results obtained show that boostrap tests have empirical sizes very close to the nominal ones and deliver rejection rates generally at least as high as those obtained using simulated critical points, and are therefore a promising alternative to the latter. The applications sto non-standard problems such as structural stability analysis appear to be especially promising.

Technical Details

RePEc Handle
repec:taf:applec:v:29:y:1997:i:9:p:1155-1161
Journal Field
General
Author Count
3
Added to Database
2026-01-25