Small sample testing for cointegration using the bootstrap approach
From MaRDI portal
Publication:1128550
DOI10.1016/S0165-1765(97)00275-9zbMath0899.90044MaRDI QIDQ1128550
Publication date: 13 August 1998
Published in: Economics Letters (Search for Journal in Brave)
62P20: Applications of statistics to economics
91B82: Statistical methods; economic indices and measures
Cites Work
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- The power of bootstrap and asymptotic tests
- Testing the autoregressive parameter with the t statistic
- Statistical analysis of cointegration vectors
- Forecasting and testing in co-integrated systems
- Edgeworth correction by bootstrap in autoregressions
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- Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
- Bootstrapping unstable first-order autoregressive processes
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Comparisons of tests for multivariate cointegration
- The Stationary Bootstrap