Palm Franz C.; Stephan, Smeekes; Jean-Pierre, Urbain - Graduate School of Business and Economics (GSBE), … - 2006
In this paper we study and compare the properties of several bootstrap unit root tests recently proposed in the literature. The tests are Dickey-Fuller or Augmented DF-tests, either based on residuals from an autoregression and the use of the block bootstrap (Paparoditis & Politis, 2003) or on...