Booststrapped johansen tests for cointegration relationships: a graphical analysis

DOI10.1080/00949650108812075zbMath1108.62335OpenAlexW2092275256MaRDI QIDQ2747231

Panagiotis Mantalos, Ghazi Shukur

Publication date: 14 October 2001

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949650108812075

zbMATH Keywords

BootstrapCointegrating relationsVAR systems

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09) Graphical methods in statistics (62A09)

Related Items (5)

Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ Bootstrap and fast double bootstrap tests of cointegration rank with financial time series ⋮ 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

• Statistical analysis of cointegration vectors
• Bootstrap methods: another look at the jackknife
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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