The power of bootstrap tests of cointegration rank

DOI10.1007/s00180-013-0425-6zbMath1306.65017OpenAlexW2058689782MaRDI QIDQ2259346

Jan Antell, Niklas Ahlgren

Publication date: 3 March 2015

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-013-0425-6

zbMATH Keywords

bootstraplikelihood ratio testcointegrationtest powerEuribor interest rates

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08)

Related Items (1)

Coding tree languages based on lattice-valued logic

Cites Work

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• The power of bootstrap and asymptotic tests
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
• Corrigendum to Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• Bootstrap tests: how many bootstraps?
• LOCAL POWER OF LIKELIHOOD RATIO TESTS FOR THE COINTEGRATING RANK OF A VAR PROCESS
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model

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