This paper proposes a bootstrap unit root test in models with GARCH(1,1) errors and establishes its asymptotic validity … under mild moment and distributional restrictions. While the proposed bootstrap test for a unit root shares the power … particular, the bootstrap procedure does not require explicit estimation of nuisance parameters that enter the distribution of …

tests are accompanied by their bootstrap counterparts due to the limited sample sizes. Using unit-root tests allowing for an … bootstrap tests give results close to those from the asymptotic ones. …

the driving stationary series. The situation is analysed from the point of view of bootstrap testing, and an exact … quantitative account is given of the error in rejection probability of a bootstrap test. A particular method of estimating the MA … parameter is recommended, as it leads to very little distortion even when the MA parameter is close to -1. A new bootstrap …