A note on bootstrapping unit root tests in the presence of a non-zero drift
| Authors | |
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| Publication date | 2003 |
| Journal | Economics Letters |
| Volume | Issue number | 78 |
| Pages (from-to) | 259-265 |
| Number of pages | 6 |
| Organisations |
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| Abstract | We bootstrap two unit root tests in the AR(1) model with intercept and linear trend. When the DGP is a random walk with drift, the bootstrap is only consistent if the linear trend is excluded from the bootstrap DGP. |
| Document type | Article |
| Published at |
https://doi.org/10.1016/S0165-1765(02)00226-4
(Final published version)
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