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Bootstrap unit-root test for random walk with drift: The bsrwalkdrift command

Author

Listed:
  • Miguel Dorta

    (StataCorp)

  • Gustavo Sanchez

    (StataCorp)

Abstract

In this article, we introduce the command bsrwalkdrift, which is primarily intended to perform a bootstrap unit-root test under the null hypothesis of random walk with drift. The method implemented in this command is considerably more precise than the corresponding case of the conventional augmented Dickey–Fuller test, which can be inaccurate when the true value of the drift term is small relative to the standard deviation of the innovations. The command also has an option to account for deterministic linear trend and another option to perform bootstrap unit-root tests under the null hypothesis of random walk without drift.

Suggested Citation

  • Miguel Dorta & Gustavo Sanchez, 2021. "Bootstrap unit-root test for random walk with drift: The bsrwalkdrift command," Stata Journal, StataCorp LP, vol. 21(1), pages 39-50, March.
    • Handle: RePEc:tsj:stataj:v:21:y:2021:i:1:p:39-50
    DOI: 10.1177/1536867X211000003
    Note: to access software from within Stata, net describe http://www.stata-journal.com/software/sj21-1/st0626/
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    Cited by:

    1. Ousama Ben-Salha & Abdelaziz Hakimi & Taha Zaghdoudi & Hassan Soltani & Mariem Nsaibi, 2022. "Assessing the Impact of Fossil Fuel Prices on Renewable Energy in China Using the Novel Dynamic ARDL Simulations Approach," Sustainability, MDPI, vol. 14(16), pages 1-17, August.

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