Bootstrap unit-root test for random walk with drift: The bsrwalkdrift command

Miguel Dorta () and Gustavo Sanchez ()
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Miguel Dorta: StataCorp
Gustavo Sanchez: StataCorp

Stata Journal, 2021, vol. 21, issue 1, 39-50

Abstract: In this article, we introduce the command bsrwalkdrift, which is primarily intended to perform a bootstrap unit-root test under the null hypothesis of random walk with drift. The method implemented in this command is considerably more precise than the corresponding case of the conventional augmented Dickey–Fuller test, which can be inaccurate when the true value of the drift term is small relative to the standard deviation of the innovations. The command also has an option to account for deterministic linear trend and another option to perform bootstrap unit-root tests under the null hypothesis of random walk without drift.

Keywords: xtavplot; xtavplots; added-variable plot; panel data; postestimation diagnostics; xtreg (search for similar items in EconPapers)
Date: 2021
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DOI: 10.1177/1536867X211000003

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