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dc.date.accessioned2013-03-12T08:17:36Z
dc.date.available2013-03-12T08:17:36Z
dc.date.issued2001en_US
dc.date.submitted2011-07-07en_US
dc.identifier.urihttp://hdl.handle.net/10852/10296
dc.description.abstractIn this note we consider the asymptotic power functions of some bootstrap unit root tests under local alternatives and show that they are in fact the same as for ordinary unit root tests. This is regardless of whether the differences of the observations, i.e. the so-called restricted residuals, or the ordinary least squares residuals are used to construct the resampled observations. We also consider models containing a constant and a linear trend and the DF-GLS tests proposed by Elliot et al.(1996). A small Monte Carlo experiment is included.eng
dc.language.isoengen_US
dc.publisherMatematisk Institutt, Universitetet i Oslo
dc.relation.ispartofPreprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420en_US
dc.relation.urihttp://urn.nb.no/URN:NBN:no-23420
dc.titleA note on the power of bootstrap unit root testen_US
dc.typeResearch reporten_US
dc.date.updated2011-07-07en_US
dc.creator.authorSwensen, Anders Ryghen_US
dc.subject.nsiVDP::410en_US
dc.identifier.urnURN:NBN:no-28561en_US
dc.type.documentForskningsrapporten_US
dc.identifier.duo132068en_US
dc.identifier.fulltextFulltext https://www.duo.uio.no/bitstream/handle/10852/10296/1/stat-res-08-01.pdf


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