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- W2045227517 abstract "This article proposes a bootstrap version of the tests of Robinson (1994) for testing unit and/or fractional roots. The finite-sample behaviour of the tests, based on these bootstrap critical values is compared with those based on asymptotic and on finite-sample results and with a number of leading unit-root tests. The Monte-Carlo simulations indicate that the bootstrap version of the tests of Robinson (1994) outperforms the other tests, including the one using finite-sample critical values. The improvement in the size and the power is particularly important under AR(1) alternatives. A small empirical application is also carried out with inflation for a panel of 16 European countries. The results show that the differences across countries depend on the critical values used: whereas the I (1) property of inflation is unclear with the asymptotic tests in some countries, the bootstrap version of Robinson's (1994) tests cannot reject the presence of a unit-root in inflation." @default.
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- W2045227517 date "2003-01-01" @default.
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- W2045227517 title "On finite sample properties of the tests of robinson (1994) for fractional integration" @default.
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- W2045227517 doi "https://doi.org/10.1080/0094965031000116942" @default.
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