| dc.date.accessioned | 2013-03-12T08:17:36Z | |
| dc.date.available | 2013-03-12T08:17:36Z | |
| dc.date.issued | 2001 | en_US |
| dc.date.submitted | 2011-07-07 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10296 | |
| dc.description.abstract | In 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.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-23420 | |
| dc.rights | © The Author(s) (2001). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | A note on the power of bootstrap unit root test | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2011-07-07 | en_US |
| dc.rights.holder | Copyright 2001 The Author(s) | |
| dc.creator.author | Swensen, Anders Rygh | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-28561 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 132068 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10296/1/stat-res-08-01.pdf | |