Abstract
A bootstrap procedure was described in Chapter 4 as a means of reducing the bias in LS estimators, and in Chapter 5 the grid bootstrap procedure, due to Hansen (1999), was outlined as a means of constructing a confidence interval in a situation where the underlying quantiles are not constant. This chapter picks up the bootstrap theme as it applies specifically to unit root testing.
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© 2011 Kerry Patterson
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Patterson, K. (2011). Bootstrap Unit Root Tests. In: Unit Root Tests in Time Series. Palgrave Texts in Econometrics. Palgrave Macmillan, London. https://doi.org/10.1057/9780230299306_8
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DOI: https://doi.org/10.1057/9780230299306_8
Publisher Name: Palgrave Macmillan, London
Print ISBN: 978-0-230-25025-3
Online ISBN: 978-0-230-29930-6
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