Palm, Franz C.; Smeekes, Stephan; Urbain, Jean-Pierre - In: Journal of Time Series Analysis 29 (2008) 2, pp. 371-401
In this article, we study and compare the properties of several bootstrap unit-root tests recently proposed in the literature. The tests are Dickey-Fuller (DF) or Augmented DF, based either on residuals from an autoregression and the use of the block bootstrap or on first-differenced data and...