Bootstrap Determination of the Co-Integration Rank in Heteroskedastic VAR Models

DOI10.1080/07474938.2013.825175zbMath1491.62090OpenAlexW1514708911MaRDI QIDQ5080462

Giuseppe Cavaliere, A. M. Robert Taylor, Anders Rahbek

Publication date: 31 May 2022

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://www.econ.ku.dk/english/research/publications/wp/dp_2012/1211.pdf

zbMATH Keywords

bootstrapco-integrationheteroskedasticityrank determinationtrace statistic

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09)

Related Items (7)

Wild bootstrap tests for autocorrelation in vector autoregressive models ⋮ ADAPTIVE LONG MEMORY TESTING UNDER HETEROSKEDASTICITY ⋮ Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models ⋮ DETERMINING THE COINTEGRATION RANK IN HETEROSKEDASTIC VAR MODELS OF UNKNOWN ORDER ⋮ Inference on co-integration parameters in heteroskedastic vector autoregressions ⋮ A PRIMER ON BOOTSTRAP TESTING OF HYPOTHESES IN TIME SERIES MODELS: WITH AN APPLICATION TO DOUBLE AUTOREGRESSIVE MODELS ⋮ Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets

Cites Work

• Testing for co-integration in vector autoregressions with non-stationary volatility
• Bootstrapping autoregressions with conditional heteroskedasticity of unknown form
• Bootstrapping general empirical measures
• Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
• Corrigendum to Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Bootstrap tests: how many bootstraps?
• A Three-step Method for Choosing the Number of Bootstrap Repetitions
• MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis

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