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Activity Number: 122
Type: Contributed
Date/Time: Monday, August 3, 2009 : 8:30 AM to 10:20 AM
Sponsor: Business and Economic Statistics Section
Abstract - #304282
Title: Bootstrap Unit Root Tests by a Simple Approach
Author(s): Guodong Li*+
Companies: The University of Hong Kong
Address: , Hong Kong, , China
Keywords: Bootstrap approximation ; Brownian motion ; Least absolute deviation ; Unit root test
Abstract:

This paper proposes a bootstrap method, by using stochastic permutation, to approximate the null distributions of the OLS-based and the LAD-based unit root tests. This bootstrap method is convenient to practice comparing to the traditional one, and is also more powerful as expected. Furthermore, for the LAD-based unit root tests, this method substantially enlarge the extent of their applications since some restricted conditions such as symmetry are removed.

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