Small sample testing for cointegration using the bootstrap approach
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Publication:1128550
DOI10.1016/S0165-1765(97)00275-9zbMath0899.90044OpenAlexW2064243263MaRDI QIDQ1128550
Publication date: 13 August 1998
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00275-9
Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)
Related Items (7)
Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ Cointegration rank switching model: an application to forecasting interest rates ⋮ Bootstrap and fast double bootstrap tests of cointegration rank with financial time series ⋮ A REVIEW OF SYSTEMS COINTEGRATION TESTS ⋮ Bootstrap tests for time varying cointegration ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
Cites Work
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- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
- Bootstrapping unstable first-order autoregressive processes
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Comparisons of tests for multivariate cointegration
- The Stationary Bootstrap
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