Bootstrap neural network cointegration tests against nonlinear alternative hypotheses

MaRDI QIDQ3368310zbMATH OpenFDO

Authors George Kapetanios

Publication date 27 January 2006

Full work available at URL http://www.bepress.com/snde/vol7/iss2/art2

zbMATH Keywords

CointegrationNonlinearityNonstationarity

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

Recommendations

• Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Tests for nonlinear cointegration
• On bootstrap inference in cointegrating regressions
• Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models

Cited in

(2)

• Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models
• Pure Significance Tests of the Unit Root Hypothesis Against Nonlinear Alternatives

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