Bootstrap tests for time varying cointegration
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Cites work
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
- Booststrapped johansen tests for cointegration relationships: a graphical analysis
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
- Bootstrap determination of the co-integration rank in vector autoregressive models
- Bootstrap Unit Root Tests
- Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
- Bootstrapping time series models
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- COINTEGRATING REGRESSIONS WITH TIME VARYING COEFFICIENTS
- Cointegration rank testing under conditional heteroskedasticity
- Corrigendum to Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Distribution of eigenvalues in multivariate statistical analysis
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Forecasting and testing in co-integrated systems
- Handbook of econometrics. Vol. 5
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- Martingale Central Limit Theorems
- Non-linear models: where do we go next - time varying parameter models?
- On Limit Theorems for Quadratic Functions of Discrete Time Series
- Residual-Based Block Bootstrap for Unit Root Testing
- Small sample testing for cointegration using the bootstrap approach
- Statistical analysis of cointegration vectors
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Testing hypotheses in an I(2) model with piecewise linear trends. An analysis of the persistent long swings in the Dmk/\$ rate
- Testing linearity in cointegrating relations with an application to purchasing power parity
- Testing structural stability with endogenous breakpoint. A size comparison of analytic and bootstrap procedures
- Tests for Parameter Instability and Structural Change With Unknown Change Point
- Time-varying cointegration
- Time-varying cointegration, identification, and cointegration spaces
- Topics in Advanced Econometrics
Cited in
(14)- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Small sample testing for cointegration using the bootstrap approach
- The power of bootstrap based tests for parameters in cointegrating regressions
- A panel bootstrap cointegration test
- Time-varying cointegration with an application to the UK Great Ratios
- Testing for no-cointegration under time-varying variance
- Testing cointegration relationship in a semiparametric varying coefficient model
- A bootstrap causality test for covariance stationary processes
- scientific article; zbMATH DE number 6613411 (Why is no real title available?)
- scientific article; zbMATH DE number 5864669 (Why is no real title available?)
- Time-varying cointegration
- Bootstrap entropy test for general location-scale time series models with heteroscedasticity
- Bootstrap LR tests of stationarity, common trends and cointegration
- Clean energy consumption and economic growth in China: a time-varying analysis
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