Bootstrap unit-root test for random walk with drift: The bsrwalkdrift command
نویسندگان
چکیده
In this article, we introduce the command bsrwalkdrift, which is primarily intended to perform a bootstrap unit-root test under null hypothesis of random walk with drift. The method implemented in considerably more precise than corresponding case conventional augmented Dickey–Fuller test, can be inaccurate when true value drift term small relative standard deviation innovations. also has an option account for deterministic linear trend and another tests without
منابع مشابه
Bootstrap Unit Root Tests
We consider the bootstrap unit root tests based on finite order autoregressive integrated models driven by iid innovations, with or without deterministic time trends. A general methodology is developed to approximate asymptotic distributions for the models driven by integrated time series, and used to obtain asymptotic expansions for the Dickey–Fuller unit root tests. The second-order terms in ...
متن کاملTapered Block Bootstrap for Unit Root Testing
A new bootstrap procedure for unit root testing based on the tapered block bootstrap is introduced. This procedure is similar to previous tests that were based on the block bootstrap and stationary bootstrap, but it has the advantage of the tapering procedure that has been previously shown to reduce the bias of the variance estimator by an order of magnitude. In this paper, the procedure is def...
متن کاملAn algorithm for tracking a random walk with unknown drift
In this paper we study the problem of tracking a random walk observed with noise when the variance of the walk increment is unknown. We describe a sequence of estimators of the random walk and we design an algorithm to choose the best estimator among all the sequence. We give also a bound for the mean square error of this estimator. Finally some simulations are presented and we compare our algo...
متن کاملThe overshoot of a random walk with negative drift
Let fSn; nX0g be a random walk starting from 0 and drifting to 1, and let tðxÞ be the first time when the random walk crosses a given level xX0. Some asymptotics for the tail probability of the overshoot StðxÞ x, associated with the event ðtðxÞo1Þ, are derived for the cases of heavy-tailed and light-tailed increments. In particular, the formulae obtained fulfill certain uniform requirements. r ...
متن کاملAre Mortality Rates Random Walk? Panel Unit- root Tests with the Evidences from Micro Data*
This study investigates the relationship between economic conditions and health. Previous studies have estimated that they have a significantly negative correlation. However, there is a concern that mortality rates are non-stationary series, with which a chance of spurious correlation exhibits. By taking first difference on regressors and conducting unit-root tests for panel data, it shows some...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Stata Journal
سال: 2021
ISSN: ['1536-867X', '1536-6873', '1536-8734']
DOI: https://doi.org/10.1177/1536867x211000003