Title of article :
A note on bootstrapping unit root tests in the presence of a non-zero drift
Author/Authors :
Noud P. A. van Giersbergen، نويسنده ,
Issue Information :
روزنامه با شماره پیاپی سال 2003
Pages :
7
From page :
259
To page :
265
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.
Keywords :
Bootstrap , Monte Carlo , Resampling schemes , Unit roots
Journal title :
Economics Letters
Serial Year :
2003
Journal title :
Economics Letters
Record number :
435113
Link To Document :
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