A note on bootstrapping unit root tests in the presence of a non-zero drift
| Authors |
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| Publication date |
2003
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| Journal |
Economics Letters
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| Volume | Issue number |
78
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| Pages (from-to) |
259-265
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| Number of pages |
6
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| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam School of Economics Research Institute (ASE-RI)
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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.
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| Document type |
Article
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| Published at |
https://doi.org/10.1016/S0165-1765(02)00226-4
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