The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors

DOI10.1080/07474930500545439zbMath1087.62099OpenAlexW2120782414MaRDI QIDQ5291756

Pieter Omtzigt, Stefano Fachin

Publication date: 22 May 2006

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

Full work available at URL: https://doi.org/10.1080/07474930500545439

zbMATH Keywords

bootstrapVARcointegrationBartlett correctionfast double bootstrap

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

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