A note on Bartlett correction factor for tests on cointegrating relations

DOI10.1016/J.SPL.2015.09.025zbMath1383.62127OpenAlexW2184244131MaRDI QIDQ273759

Alessandra Canepa

Publication date: 22 April 2016

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/11549

zbMATH Keywords

bootstrap methodcointegrationBartlett correction factor

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of nonparametric inference (62G20) Nonparametric statistical resampling methods (62G09)

Cites Work

• Unnamed Item
• The power of bootstrap and asymptotic tests
• Bootstrapping general empirical measures
• A BARTLETT CORRECTION FACTOR FOR TESTS ON THE COINTEGRATING RELATIONS
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Some Exact Distribution Theory for Maximum Likelihood Estimators of Cointegrating Coefficients in Error Correction Models
• TESTING LINEAR RESTRICTIONS ON COINTEGRATING VECTORS: SIZES AND POWERS OF WALD AND LIKELIHOOD RATIO TESTS IN FINITE SAMPLES
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Improvement of the quasi‐likelihood ratio test in ARMA models: some results for bootstrap methods

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