Bootstrap unit-root test for random walk with drift: The bsrwalkdrift command

• Autores: Miguel Dorta, Gustavo Sánchez
• Localización: The Stata journal, ISSN 1536-867X, Vol. 21, Nº. 1, 2021, págs. 39-50
• Idioma: inglés
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• Resumen

  • In this article, we introduce the command bsrwalkdrift, which is primarily intended to perform a bootstrap unit-root test under the null hypothesis of random walk with drift. The method implemented in this command is considerably more precise than the corresponding case of the conventional augmented Dickey–Fuller test, which can be inaccurate when the true value of the drift term is small relative to the standard deviation of the innovations. The command also has an option to account for deterministic linear trend and another option to perform bootstrap unit-root tests under the null hypothesis of random walk without drif