The Level and Power of the BootstraptTest in the AR(1) Model With Trend
研究含截距和趋势的一阶自回归模型中，使用自助法临界值的t统计量检验AR参数。蒙特卡洛模拟表明，该检验在实际常见样本量下具有正确的拒绝概率，且功效与水平校正临界值检验相当。
This article considers a first-order autoregressive (AR) model that may include an intercept and trend in which the innovations are independently and identically distributed. The innovation distribution is assumed unknown. The AR parameter is tested using the conventional t statistic. The article presents Monte Carlo estimates of the rejection probability of the test with bootstrap-based critical values. The results show that the test with the bootstrap-based critical value has essentially the right rejection probability for sample sizes comparable to or smaller than those that occur in practice and essentially the same power as the test with level-corrected critical values.