Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test

DOI10.1007/BF02595424MaRDI QIDQ2474782zbMATH OpenOpenAlexFDO

Authors Miguel A. Arranz, Alvaro Escribano

Publication date 6 March 2008

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02595424

zbMATH Keywords

bootstrapcointegration testingextended error correction modelstructural breakstables

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Monte Carlo methods (65C05)

Recommendations

• New Improved Tests for Cointegration with Structural Breaks
• Cointegration tests in the presence of structural breaks
• Monte Carlo tests of cointegration with structural breaks
• A sieve bootstrap test for cointegration in a conditional error correction model
• The power of bootstrap based tests for parameters in cointegrating regressions

Cites work

• Block length selection in the bootstrap for time series
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Bootstrapping time series models
• Cointegration tests in the presence of structural breaks
• Forecasting non-stationary economic time series. With a foreword by Katarina Juselius
• How to implement the bootstrap in static or stable dynamic regression models: test statistic versus confidence region approach
• scientific article; zbMATH DE number 708500 (Why is no real title available?)
• scientific article; zbMATH DE number 1104922 (Why is no real title available?)
• Making wald tests work for cointegrated VAR systems
• Recent developments in bootstrapping time series
• Statistical inference in vector autoregressions with possibly integrated processes
• The bootstrap and Edgeworth expansion
• The jackknife and bootstrap
• THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED

Cited in

(2)

• Cobra: a package for co-breaking analysis
• The power of bootstrap based tests for parameters in cointegrating regressions

Describes a project that uses

Uses Software

• bootstrap

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