Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test

DOI10.1007/BF02595424zbMath1131.62076OpenAlexW2149288602MaRDI QIDQ2474782

Miguel A. Arranz, Alvaro Escribano

Publication date: 6 March 2008

Published in: Test (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02595424

zbMATH Keywords

tablesbootstrapstructural breakscointegration testingextended error correction model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Monte Carlo methods (65C05)

Uses Software

• bootstrap

Cites Work

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• Statistical inference in vector autoregressions with possibly integrated processes
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Block length selection in the bootstrap for time series
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• The jackknife and bootstrap
• Cointegration tests in the presence of structural breaks
• Making wald tests work for cointegrated VAR systems
• Recent developments in bootstrapping time series
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
• Bootstrapping time series models
• The bootstrap and Edgeworth expansion

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