EconPapers    
Economics at your fingertips  
 

On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root

Anton Skrobotov ()

Working Papers from Gaidar Institute for Economic Policy

Abstract: In this paper we investigate the 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: likelihood ratio test; unit root test; bootstrap. (search for similar items in EconPapers)
JEL-codes: C12 C22 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2018, Revised 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://iep.ru/files/RePEc/gai/wpaper/wpaper-2018-302.pdf Revised version, 2018 (application/pdf)

Related works:
Journal Article: On bootstrap implementation of likelihood ratio test for a unit root (2018) Downloads
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:gai:wpaper:wpaper-2018-302

Access Statistics for this paper

More papers in Working Papers from Gaidar Institute for Economic Policy Contact information at EDIRC.
Bibliographic data for series maintained by Victor Hugues ().

 
Page updated 2019-10-08
Handle: RePEc:gai:wpaper:wpaper-2018-302