A note on bootstrapping unit root tests in the presence of a non-zero drift

DOI10.1016/S0165-1765(02)00226-4zbMath1030.91517OpenAlexW2135683996MaRDI QIDQ1853669

Noud P. A. van Giersbergen

Publication date: 22 January 2003

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0165-1765(02)00226-4

zbMATH Keywords

Monte CarloUnit rootsBootstrapResampling schemes

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

• Unnamed Item
• Testing the autoregressive parameter with the t statistic
• Bootstrapping general first order autoregression
• On asymptotic properties of bootstrap for AR(1) processes
• Bootstrapping unstable first-order autoregressive processes
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root
• Unit root bootstrap tests for AR (1) models
• Bootstrapping Autoregressive Processes with Possible Unit Roots

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