Journal article
The Level and Power of the Bootstrap t Test in the AR(1) Model With Trend
Journal of business & economic statistics, Vol.14(2), pp.161-168
04/01/1996
DOI: 10.1080/07350015.1996.10524642
Abstract
This article considers a first-order autoregressive (AR) model that may include an intercept and trend in which the innovations are independently and identically distributed. The innovation distribution is assumed unknown. The AR parameter is tested using the conventional t statistic. The article presents Monte Carlo estimates of the rejection probability of the test with bootstrap-based critical values. The results show that the test with the bootstrap-based critical value has essentially the right rejection probability for sample sizes comparable to or smaller than those that occur in practice and essentially the same power as the test with level-corrected critical values.
Details
- Title: Subtitle
- The Level and Power of the Bootstrap t Test in the AR(1) Model With Trend
- Creators
- John C. Nankervis - University of SurreyN. E. Savin - University of Iowa
- Resource Type
- Journal article
- Publication Details
- Journal of business & economic statistics, Vol.14(2), pp.161-168
- DOI
- 10.1080/07350015.1996.10524642
- ISSN
- 0735-0015
- eISSN
- 1537-2707
- Publisher
- Taylor & Francis Group
- Number of pages
- 8
- Language
- English
- Date published
- 04/01/1996
- Academic Unit
- Economics
- Record Identifier
- 9984963192402771
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