A sieve bootstrap test for cointegration in a conditional error correction model
From MaRDI portal
Publication:3577697
DOI10.1017/S0266466609990053zbMATH Open1191.62151WikidataQ59107889 ScholiaQ59107889MaRDI QIDQ3577697FDOQ3577697
Authors: Franz C. Palm, Stephan Smeekes, Jean-Pierre Urbain 
Publication date: 23 July 2010
Published in: Econometric Theory (Search for Journal in Brave)
Recommendations
Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Cites Work
- Bootstrap Unit-Root Tests: Comparison and Extensions
- Sieve bootstrap for time series
- Asymptotics for linear processes
- Moving-average representation of autoregressive approximations
- REGRESSION, AUTOREGRESSION MODELS
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
- Bootstrapping unstable first-order autoregressive processes
- A Sieve Bootstrap For The Test Of A Unit Root
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- Residual-Based Block Bootstrap for Unit Root Testing
- Bootstrap Unit Root Tests
- Bootstrapping Unit Root Tests for Autoregressive Time Series
- Consistent autoregressive spectral estimates
- Testing for an unstable root in conditional and structural error correction models
- Asymptotic Properties of Residual Based Tests for Cointegration
- Error-correction Mechanism Tests for Cointegration in a Single-equation Framework
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
- A useful estimate in the multidimensional invariance principle
- Bootstrapping cointegrating regressions
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Bootstrap testing for the null of no cointegration in a threshold vector error correction model
- Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
- Majorization, exponential inequalities and almost sure behavior of vector-valued random variables
- Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
- THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
- Analytical evaluation of the power of tests for the absence of cointegration
Cited In (19)
- Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
- Combining non-cointegration tests
- A procedure to detect hidden cointegration with the sieve bootstrap
- Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order
- Detrending bootstrap unit root tests
- A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
- Bootstrap testing for the null of no cointegration in a threshold vector error correction model
- Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
- A panel bootstrap cointegration test
- Title not available (Why is that?)
- Nonlinear error correction based cointegration test in panel data
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- A simple sieve bootstrap range test for poolability in dependent cointegrated panels
- Small sample testing for cointegration using the bootstrap approach
- Bootstrap inference in systems of single equation error correction models
- The power of bootstrap based tests for parameters in cointegrating regressions
- Identification robust inference in cointegrating regressions
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
- An automated approach towards sparse single-equation cointegration modelling
This page was built for publication: A sieve bootstrap test for cointegration in a conditional error correction model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3577697)
