Template-Type: ReDIF-Paper 1.0
Author-Name:Skrobotov Anton
Author-Name-First: Anton 
Author-Name-Last:Skrobotov 
Author-Workplace-Name: RANEPA 
Title: On Bootstrap Implementation of Likelihood Ratio Test for a Unit Root
Abstract: In this paper we investigate the bootstrap implementation of the likelihood ratio test for a
unit root recently proposed by Jansson and Nielsen (2012). We demonstrate that the likelihood
ratio test shows poor finite sample properties under strongly autocorrelated errors, i.e. if the
autoregressive or moving average roots are close to -1. The size distortions in these case
are more pronounced in comparison to the bootstrap M and ADF tests. We found that the
bootstrap version of likelihood ratio test (with autoregressive recolouring) demonstrates better
performance than bootstrap M tests. Moreover, the bootstrap likelihood ratio test show better
finite sample properties in comparison to the bootstrap ADF in some cases.
Classification-JEL: C12, C22
Keywords:  likelihood ratio test, unit root test, bootstrap.
Creation-Date: 2018
Revision-Date:2018
Length: 10 pages
File-URL: https://www.iep.ru/files/RePEc/gai/wpaper/wpaper-2018-302.pdf
File-Format: application/pdf
File-Function: Revised version, 2018
Handle: RePEc:gai:wpaper:wpaper-2018-302