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On bootstrap implementation of likelihood ratio test for a unit root. / Skrobotov, Anton.

в: Economics Letters, Том 171, 10.2018, стр. 154-158.

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Harvard

Skrobotov, A 2018, 'On bootstrap implementation of likelihood ratio test for a unit root', Economics Letters, Том. 171, стр. 154-158. https://doi.org/10.1016/j.econlet.2018.07.030

APA

Skrobotov, A. (2018). On bootstrap implementation of likelihood ratio test for a unit root. Economics Letters, 171, 154-158. https://doi.org/10.1016/j.econlet.2018.07.030

Vancouver

Skrobotov A. On bootstrap implementation of likelihood ratio test for a unit root. Economics Letters. 2018 Окт.;171:154-158. https://doi.org/10.1016/j.econlet.2018.07.030

Author

Skrobotov, Anton. / On bootstrap implementation of likelihood ratio test for a unit root. в: Economics Letters. 2018 ; Том 171. стр. 154-158.

BibTeX

@article{24f329cb91d543f1a2897e4b4985e0ff,
title = "On bootstrap implementation of likelihood ratio test for a unit root",
abstract = "In this paper we investigate a bootstrap implementation of the likelihood ratio test for a unit root recently proposed by Jansson and Nielsen (2012). We demonstrate that the likelihood ratio test shows poor finite sample properties under strongly autocorrelated errors, i.e. if the autoregressive or moving average roots are close to −1. The size distortions in these case are more pronounced in comparison to the bootstrap M and ADF tests. We found that the bootstrap version of likelihood ratio test (with autoregressive recolouring) demonstrates better performance than bootstrap M tests. Moreover, the bootstrap likelihood ratio test show better finite sample properties in comparison to the bootstrap ADF in some cases.",
keywords = "Bootstrap, Likelihood ratio test, Unit root test",
author = "Anton Skrobotov",
note = "Publisher Copyright: {\textcopyright} 2018 Elsevier B.V.",
year = "2018",
month = oct,
doi = "10.1016/j.econlet.2018.07.030",
language = "English",
volume = "171",
pages = "154--158",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - On bootstrap implementation of likelihood ratio test for a unit root

AU - Skrobotov, Anton

N1 - Publisher Copyright: © 2018 Elsevier B.V.

PY - 2018/10

Y1 - 2018/10

N2 - In this paper we investigate a bootstrap implementation of the likelihood ratio test for a unit root recently proposed by Jansson and Nielsen (2012). We demonstrate that the likelihood ratio test shows poor finite sample properties under strongly autocorrelated errors, i.e. if the autoregressive or moving average roots are close to −1. The size distortions in these case are more pronounced in comparison to the bootstrap M and ADF tests. We found that the bootstrap version of likelihood ratio test (with autoregressive recolouring) demonstrates better performance than bootstrap M tests. Moreover, the bootstrap likelihood ratio test show better finite sample properties in comparison to the bootstrap ADF in some cases.

AB - In this paper we investigate a bootstrap implementation of the likelihood ratio test for a unit root recently proposed by Jansson and Nielsen (2012). We demonstrate that the likelihood ratio test shows poor finite sample properties under strongly autocorrelated errors, i.e. if the autoregressive or moving average roots are close to −1. The size distortions in these case are more pronounced in comparison to the bootstrap M and ADF tests. We found that the bootstrap version of likelihood ratio test (with autoregressive recolouring) demonstrates better performance than bootstrap M tests. Moreover, the bootstrap likelihood ratio test show better finite sample properties in comparison to the bootstrap ADF in some cases.

KW - Bootstrap

KW - Likelihood ratio test

KW - Unit root test

UR - http://www.scopus.com/inward/record.url?scp=85050791168&partnerID=8YFLogxK

U2 - 10.1016/j.econlet.2018.07.030

DO - 10.1016/j.econlet.2018.07.030

M3 - Article

AN - SCOPUS:85050791168

VL - 171

SP - 154

EP - 158

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

ER -

ID: 92712087