sorry to bother you again with stupid questions. Your help is highly appreciated!
I need to bootstrap some M-tests for unit roots using "wild bootstrapping" as it is done, for instance, in the paper "BOOTSTRAP UNIT ROOT TESTS
FOR TIME SERIES WITH NONSTATIONARY VOLATILITY" by Cavaliere and Taylor, Econometric Theory, 2008.
Before I am starting to write my own programs, I was wondering whether there is already some code available for the M-tests or the wild bootstrapping method? I couldn't find anything alike but I guess there are some parts I could "recycle". So, if some program comes immediately to your mind where I find parts of that code, please be so kind as to point out to me which one this is.
Thanks a lot!