Bootstrap Testing of Hypotheses on Co-Integration Relations in Vector Autoregressive Models

DOI10.3982/ECTA11952zbMath1410.62040OpenAlexW2069298360MaRDI QIDQ4614277

Giuseppe Cavaliere, Anders Rahbek, Heino Bohn Nielsen

Publication date: 30 January 2019

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3982/ecta11952

zbMATH Keywords

bootstrapco-integrationmultivariate Ornstein-Uhlenbeck processeshypotheses on co-integrating vectors

Mathematics Subject Classification ID

Hypothesis testing in multivariate analysis (62H15) Bootstrap, jackknife and other resampling methods (62F40)

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