[go: up one dir, main page]

  EconPapers    
Economics at your fingertips  
 

Bootstrap M Unit Root Tests

Giuseppe Cavaliere and Robert Taylor

Econometric Reviews, 2009, vol. 28, issue 5, 393-421

Abstract: In this article we propose wild bootstrap implementations of the local generalized least squares (GLS) de-trended M and ADF unit root tests of Stock (1999), Ng and Perron (2001), and Elliott et al. (1996), respectively. The bootstrap statistics are shown to replicate the first-order asymptotic distributions of the original statistics, while numerical evidence suggests that the bootstrap tests perform well in small samples. A recolored version of our bootstrap is also proposed which can further improve upon the finite sample size properties of the procedure when the shocks are serially correlated, in particular ameliorating the significant under-size seen in the M tests against processes with autoregressive or moving average roots close to -1. The wild bootstrap is used because it has the desirable property of preserving in the resampled data the pattern of heteroskedasticity present in the original shocks, thereby allowing for cases where the series under test is driven by martingale difference innovations.

Keywords: Conditional heteroskedasticity; Re-colouring; Unit root tests; Wild bootstrap (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/07474930802467167 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:emetrv:v:28:y:2009:i:5:p:393-421

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/LECR20

DOI: 10.1080/07474930802467167

Access Statistics for this article

Econometric Reviews is currently edited by Dr. Essie Maasoumi

More articles in Econometric Reviews from Taylor & Francis Journals
Bibliographic data for series maintained by ().

 
Page updated 2024-11-08
Handle: RePEc:taf:emetrv:v:28:y:2009:i:5:p:393-421