Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

DOI10.1017/S0266466608090087MaRDI QIDQ3551022zbMATH OpenOpenAlexFDO

Authors Carsten Trenkler

Publication date 8 April 2010

Published in Econometric Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1017/s0266466608090087

Mathematics Subject Classification ID

Asymptotic properties of parametric tests (62F05) Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07)

Recommendations

• Bootstrapping cointegrating regressions
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• Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
• Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
• Small sample testing for cointegration using the bootstrap approach

Cites work

• A Sieve Bootstrap For The Test Of A Unit Root
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Bootstrap tests: how many bootstraps?
• Bootstrap Unit Root Tests
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Heteroskedastic cointegration
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Properties of sufficiency and statistical tests
• Residual-Based Block Bootstrap for Unit Root Testing
• Testing for the cointegrating rank of a VAR process with a time trend
• Tests for Unit Roots and the Initial Condition
• Trend adjustment prior to testing for the cointegrating rank of a vector autoregressive process

Cited in

(10)

• Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
• Booststrapped johansen tests for cointegration relationships: a graphical analysis
• Cointegration rank testing under conditional heteroskedasticity
• A sieve bootstrap test for cointegration in a conditional error correction model
• Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
• Block bootstrap theory for multivariate integrated and cointegrated processes
• 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
• Johansen‐type cointegration tests with a Fourier function
• A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables

Describes a project that uses

Uses Software

• JMulTi

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