This study analyzes the size and power of tests of the null of stationarity against the unit root alternative. Existing evidence is limited to processes with roots between 0 and 0.7. In sharp contrast, virtually all applications of economic interest involve null hypotheses much closer to 1. We...

The conventional Edgeworth expansion view of bootstrap confidence intervals suggests that for the bootstrap to exceed the accuracy of the normal approximation one must bootstrap asymptotically pivotal statistics. This paper questions the basic premise of the asymptotic theory used to rationalize...