BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS

DOI10.1017/S0266466608090087zbMath1277.62091OpenAlexW2117346248MaRDI QIDQ3551022

Carsten Trenkler

Publication date: 8 April 2010

Published in: Econometric Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0266466608090087

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Non-Markovian processes: hypothesis testing (62M07) Asymptotic properties of parametric tests (62F05)

Related Items (9)

Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion ⋮ Johansen‐type cointegration tests with a Fourier function ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ COINTEGRATION RANK TESTING UNDER CONDITIONAL HETEROSKEDASTICITY ⋮ A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes ⋮ Bootstrap tests for time varying cointegration ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming

Uses Software

• JMulTi

Cites Work

• Unnamed Item
• Heteroskedastic cointegration
• Testing for the cointegrating rank of a VAR process with a time trend
• Trend Adjustment Prior to Testing for the Cointegrating Rank of a Vector Autoregressive Process
• BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
• Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
• A Sieve Bootstrap For The Test Of A Unit Root
• Bootstrap tests: how many bootstraps?
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
• Residual-Based Block Bootstrap for Unit Root Testing
• Tests for Unit Roots and the Initial Condition
• Bootstrap Unit Root Tests
• A Small Sample Correction for the Test of Cointegrating Rank in the Vector Autoregressive Model
• Bootstrapping Unit Root Tests for Autoregressive Time Series
• Properties of sufficiency and statistical tests

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