Small sample testing for cointegration using the bootstrap approach
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Publication:1128550
DOI10.1016/S0165-1765(97)00275-9zbMATH Open0899.90044OpenAlexW2064243263MaRDI QIDQ1128550FDOQ1128550
Authors: S. H. Smith 
Publication date: 13 August 1998
Published in: Economics Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0165-1765(97)00275-9
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Cites Work
- Edgeworth correction by bootstrap in autoregressions
- The Stationary Bootstrap
- Bootstrapping unstable first-order autoregressive processes
- Forecasting and testing in co-integrated systems
- Statistical analysis of cointegration vectors
- The power of bootstrap and asymptotic tests
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Testing the autoregressive parameter with the t statistic
- Title not available (Why is that?)
- Comparisons of tests for multivariate cointegration
- Title not available (Why is that?)
- Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
Cited In (10)
- Bootstrap tests for time varying cointegration
- Cointegration rank switching model: an application to forecasting interest rates
- A REVIEW OF SYSTEMS COINTEGRATION TESTS
- Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
- Cointegration rank testing under conditional heteroskedasticity
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
- Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
- Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
- Booststrapped johansen tests for cointegration relationships: a graphical analysis
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