Alternative bootstrap procedures for testing cointegration in fractionally integrated processes

DOI10.1016/j.jeconom.2005.06.012zbMath1345.62057OpenAlexW2101416844WikidataQ57936776 ScholiaQ57936776MaRDI QIDQ275262

F. Blanchet-Sadri, M. Dambrine

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10036/28772

zbMATH Keywords

fractional cointegrationbootstrap tests

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)

Related Items

Unnamed Item, Higher-order improvements of the parametric bootstrap for long-memory Gaussian processes, A Wald test for the cointegration rank in nonstationary fractional systems, Bootstrap-based testing inference in beta regressions, Tests for cointegration with structural breaks based on subsamples, The fast iterated bootstrap, Bootstrap tests for fractional integration and cointegration: a comparison study, Type I and type II fractional Brownian motions: a reconsideration, Likelihood based testing for no fractional cointegration, A test for fractional cointegration using the sieve bootstrap, Improving the reliability of bootstrap tests with the fast double bootstrap, REPRESENTATION AND WEAK CONVERGENCE OF STOCHASTIC INTEGRALS WITH FRACTIONAL INTEGRATOR PROCESSES

Uses Software

• Ox

Cites Work

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