Bootstrap and fast double bootstrap tests of cointegration rank with financial time series

DOI10.1016/j.csda.2008.03.025zbMath1452.62738OpenAlexW2038445319MaRDI QIDQ1023836

Jan Antell, Niklas Ahlgren

Publication date: 16 June 2009

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2008.03.025

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09)

Related Items (3)

Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ The power of bootstrap tests of cointegration rank

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• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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