Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap

DOI10.1016/j.matcom.2007.06.005zbMath1140.62070OpenAlexW1970418884MaRDI QIDQ934011

Zheng Tian, Zheng Yang, Zixia Yuan

Publication date: 29 July 2008

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.matcom.2007.06.005

zbMATH Keywords

Monte Carlo simulationthreshold cointegrationresidual-based moving block bootstrapsup LM test

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites Work

• Bootstrap testing for the null of no cointegration in a threshold vector error correction model
• A threshold cointegration test with increased power
• Bootstrap methods: another look at the jackknife
• Markov-switching vector autoregressions. Modelling, statistical inference, and application to business cycle analysis
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• The jackknife and the bootstrap for general stationary observations
• Testing for two-regime threshold cointegration in vector error-correction models.
• Testing linearity in cointegrating smooth transition regressions
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Optimal Tests when a Nuisance Parameter is Present Only Under the Alternative
• The Stationary Bootstrap
• Threshold Cointegration
• Threshold Autoregression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• TESTING FOR COINTEGRATION IN NONLINEAR SMOOTH TRANSITION ERROR CORRECTION MODELS
• Residual-Based Block Bootstrap for Unit Root Testing
• Inference When a Nuisance Parameter Is Not Identified Under the Null Hypothesis
• COINTEGRATING SMOOTH TRANSITION REGRESSIONS
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