Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
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Publication:2445809
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Cites work
- scientific article; zbMATH DE number 3635352 (Why is no real title available?)
- scientific article; zbMATH DE number 3444596 (Why is no real title available?)
- A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
- A bootstrap theorem for a preliminary test estimator
- A modified information criterion for cointegration tests based on a VAR approximation
- A note on methods of restoring consistency to the bootstrap
- A sieve bootstrap test for cointegration in a conditional error correction model
- Accounting for Lag Order Uncertainty in Autoregressions: the Endogenous Lag Order Bootstrap Algorithm
- Applied Time Series Econometrics
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Bootstrapping cointegrating regressions
- Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
- Cointegration rank testing under conditional heteroskedasticity
- Comparisons of tests for multivariate cointegration
- Corrigendum to Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Estimating the dimension of a model
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Estimation and Testing for Unit Roots in a Partially Nonstationary Vector Autoregressive Moving Average Model
- Improving the reliability of bootstrap tests with the fast double bootstrap
- MODEL SELECTION AND INFERENCE: FACTS AND FICTION
- Modified fast double sieve bootstraps for ADF tests
- ORDER DETERMINATION OF MULTIVARIATE AUTOREGRESSIVE TIME SERIES WITH UNIT ROOTS
- On the distribution of penalized maximum likelihood estimators: the LASSO, SCAD, and thresholding
- Properties of sufficiency and statistical tests
- Statistical analysis of cointegration vectors
- Stepwise Multiple Testing as Formalized Data Snooping
- Testing cointegration in infinite order vector autoregressive processes
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Testing for the cointegrating rank of a VAR process with a time trend
- Using subspace algorithm cointegration analysis: simulation performance and application to the term structure
- VECTOR AUTOREGRESSIVE MODELS WITH UNIT ROOTS AND REDUCED RANK STRUCTURE:ESTIMATION. LIKELIHOOD RATIO TEST, AND FORECASTING
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