Title: The Level and Power of the Bootstrap<i>t</i>Test in the AR(1) Model With Trend
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.
Publication Year: 1996
Publication Date: 1996-04-01
Language: en
Type: article
Indexed In: ['crossref']
Access and Citation
Cited By Count: 46
AI Researcher Chatbot
Get quick answers to your questions about the article from our AI researcher chatbot