Abstract
This article proposes a bootstrap version of the tests of robinson (1994) for testing unit and/or fractional roots. The finite-sample behaviour of the tests, based on these bootstrap critical values is compared with those based on asymptotic and on finite-sample results and with a number of leading unit-root tests. The monte-carlo simulations indicate that the bootstrap version of the tests of robinson (1994) outperforms the other tests, including the one using finite-sample critical values. The improvement in the size and the power is particularly important under ar(1) alternatives. A small empirical application is also carried out with inflation for a panel of 16 european countries. The results show that the differences across countries depend on the critical values used: whereas the i (1) property of inflation is unclear with the asymptotic tests in some countries, the bootstrap version of robinson's (1994) tests cannot reject the presence of a unit-root in inflation.
Original language | English |
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Pages (from-to) | 445-464 |
Journal | Journal of Statistical Computation and Simulation |
Volume | 73 |
Issue number | 6 |
DOIs | |
Publication status | Published - 1 Jan 2003 |