A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
证明在局部备择假设下，自助法单位根检验的渐近功效函数与普通单位根检验相同，无论使用受限残差还是普通最小二乘残差构造重抽样观测值。
In this note we consider the asymptotic power functions of some bootstrap unit root tests under local alternatives and show that they are in fact the same as for ordinary unit root tests. This is regardless of whether the differences of the observations, i.e., the so-called restricted residuals, or the ordinary least squares residuals are used to construct the resampled observations. We also consider models containing a constant and a linear trend and the DF-GLS tests proposed by Elliott, Rothenberg, and Stock (1996, Econometrica 64, 813–836). A small Monte Carlo experiment is included.I thank the associate editor, Bruce E. Hansen, and three anonymous referees for very constructive comments on the previous versions of the manuscript.