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Bootstrapping unit root tests

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Listed:
  • Daniela De Angelis
  • Stefano Fachin
  • G. Alastair Young

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.

Suggested Citation

  • Daniela De Angelis & Stefano Fachin & G. Alastair Young, 1997. "Bootstrapping unit root tests," Applied Economics, Taylor & Francis Journals, vol. 29(9), pages 1155-1161.
    • Handle: RePEc:taf:applec:v:29:y:1997:i:9:p:1155-1161
    DOI: 10.1080/00036849700000006
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    References listed on IDEAS

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    Cited by:

    1. Kazuhiro Ohtani, 2002. "Exact critical values of unit root tests with drift and trend," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 137-145.
    2. Kazuhiro Ohtani, 1999. "Exact critical values of unit root tests when there is a constant term and a time trend," Applied Economics Letters, Taylor & Francis Journals, vol. 6(8), pages 497-500.
    3. Aka, F.B. & Decaluwe, B., 1999. "Causality and Comovement Between Tax Rate and Budget Deficits: Further Evidence from Developing Countries," Papers 9911, Laval - Recherche en Politique Economique.
    4. Kazuhiro Ohtani, 2000. "Exact and bootstrap distributions of a unit root test," Applied Economics Letters, Taylor & Francis Journals, vol. 7(7), pages 463-466.

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