Improving the power of unit root tests against fractional alternatives using bootstrap
AbstractIn this paper asymptotic tests for unit root hypothesis against fractional alternatives are considered. Since they are generally badly sized in small samples, even for normally distributed processes, we consider a new bootstrap approach to correct such size distorsion. We find out that the bootstrap approach always improves the size and the power of the considered tests.
How to Cite
Bisaglia, L., & Procidano, I. (2003). Improving the power of unit root tests against fractional alternatives using bootstrap. Statistica, 63(3), 589–602. https://doi.org/10.6092/issn.1973-2201/371