Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion

DOI10.1080/07474938.2012.690677zbMath1491.62091OpenAlexW2120466499MaRDI QIDQ5080578

A. M. Robert Taylor, Carsten Trenkler, Giuseppe Cavaliere

Publication date: 31 May 2022

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

Full work available at URL: https://www.nottingham.ac.uk/research/groups/grangercentre/documents/10-04.pdf

zbMATH Keywords

cointegrationi.i.d. bootstrapOLS and GLS detrendingtrace tests

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) Non-Markovian processes: hypothesis testing (62M07)

Related Items (2)

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

• Testing for co-integration in vector autoregressions with non-stationary volatility
• Bootstrapping general empirical measures
• Statistical analysis of cointegration vectors
• Small sample testing for cointegration using the bootstrap approach
• Stationarity and the existence of moments of a family of GARCH processes.
• Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
• Booststrapped johansen tests for cointegration relationships: a graphical analysis
• COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY
• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Efficient Tests for an Autoregressive Unit Root
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Tests for Unit Roots and the Initial Condition
• 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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