Booststrapped johansen tests for cointegration relationships: a graphical analysis

DOI10.1080/00949650108812075MaRDI QIDQ2747231zbMATH OpenOpenAlexFDO

Authors Panagiotis Mantalos, Ghazi Shukur

Publication date 14 October 2001

Published in Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00949650108812075

zbMATH Keywords

BootstrapCointegrating relationsVAR systems

Mathematics Subject Classification ID

Graphical methods in statistics (62A09) Nonparametric statistical resampling methods (62G09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

• Maximum eigenvalue versus trace tests for the cointegrating rank of a VAR process
• Small sample testing for cointegration using the bootstrap approach
• The power of bootstrap based tests for parameters in cointegrating regressions
• The power of bootstrap tests of cointegration rank
• Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Cites work

• Bootstrap methods: another look at the jackknife
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
• Statistical analysis of cointegration vectors

Cited in

(6)

• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• Cointegration rank testing under conditional heteroskedasticity
• A graphical investigation of the size and power of the Granger-causality tests in integrated-cointegrated VAR systems
• Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
• 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

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