Bootstrapping unit root tests

Daniela De Angelis; Stefano Fachin; G. Alastair Young

doi:10.1080/00036849700000006

Bootstrapping unit root tests

Daniela De Angelis^*
, Stefano Fachin
, G. Alastair Young

^*Corresponding author for this work

Research output: Contribution to journal › Article › peer-review

4 Citations (Scopus)

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 to non-standard problems such as structural stability analysis appear to be especially promising.

Original language	English
Pages (from-to)	1155-1161
Number of pages	7
Journal	Applied Economics
Volume	29
Issue number	9
DOIs	https://doi.org/10.1080/00036849700000006
Publication status	Published - Sept 1997

Bibliographical note

Funding Information:
Research funded by CNR and MURST grants (research project 'Unit roots and cointegration: new procedures of estimation and testing'). We would like to thank Paolo Paruolo, Gianluca Cubadda and the participants at the EC(2) Conference on 'Non Parametric and Dynamic Modelling' (Humboldt University, Berlin, 1994) for helpful comments. The usual disclaimers apply.

Access to Document

10.1080/00036849700000006

Cite this

@article{99f88548b54f4a2492eb928d8edb2551,

title = "Bootstrapping unit root tests",

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 to non-standard problems such as structural stability analysis appear to be especially promising.",

author = "\{De Angelis\}, Daniela and Stefano Fachin and \{Alastair Young\}, G.",

note = "Funding Information: Research funded by CNR and MURST grants (research project 'Unit roots and cointegration: new procedures of estimation and testing'). We would like to thank Paolo Paruolo, Gianluca Cubadda and the participants at the EC(2) Conference on 'Non Parametric and Dynamic Modelling' (Humboldt University, Berlin, 1994) for helpful comments. The usual disclaimers apply.",

year = "1997",

month = sep,

doi = "10.1080/00036849700000006",

language = "English",

volume = "29",

pages = "1155--1161",

journal = "Applied Economics",

issn = "0003-6846",

publisher = "Taylor and Francis Ltd.",

number = "9",

}

TY - JOUR

T1 - Bootstrapping unit root tests

AU - De Angelis, Daniela

AU - Fachin, Stefano

AU - Alastair Young, G.

N1 - Funding Information: Research funded by CNR and MURST grants (research project 'Unit roots and cointegration: new procedures of estimation and testing'). We would like to thank Paolo Paruolo, Gianluca Cubadda and the participants at the EC(2) Conference on 'Non Parametric and Dynamic Modelling' (Humboldt University, Berlin, 1994) for helpful comments. The usual disclaimers apply.

PY - 1997/9

Y1 - 1997/9

N2 - 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 to non-standard problems such as structural stability analysis appear to be especially promising.

AB - 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 to non-standard problems such as structural stability analysis appear to be especially promising.

UR - https://www.scopus.com/pages/publications/0040876516

U2 - 10.1080/00036849700000006

DO - 10.1080/00036849700000006

M3 - Article

AN - SCOPUS:0040876516

SN - 0003-6846

VL - 29

SP - 1155

EP - 1161

JO - Applied Economics

JF - Applied Economics

IS - 9

ER -

Bootstrapping unit root tests

Abstract

Bibliographical note

Access to Document

Other files and links

Fingerprint

Cite this