A sieve bootstrap test for cointegration in a conditional error correction model
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Publication:3577697
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Cites work
- A Sieve Bootstrap For The Test Of A Unit Root
- A useful estimate in the multidimensional invariance principle
- AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
- Analytical evaluation of the power of tests for the absence of cointegration
- Asymptotic Properties of Residual Based Tests for Cointegration
- Asymptotics for linear processes
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Bootstrap Unit Root Tests
- Bootstrap Unit-Root Tests: Comparison and Extensions
- Bootstrap testing for the null of no cointegration in a threshold vector error correction model
- Bootstrapping Unit Root Tests for Autoregressive Time Series
- Bootstrapping autoregressive and moving average parameter estimates of infinite order vector autoregressive processes
- Bootstrapping cointegrating regressions
- Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
- Bootstrapping unstable first-order autoregressive processes
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Consistent autoregressive spectral estimates
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- Majorization, exponential inequalities and almost sure behavior of vector-valued random variables
- Moving-average representation of autoregressive approximations
- ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
- REGRESSION, AUTOREGRESSION MODELS
- Residual-Based Block Bootstrap for Unit Root Testing
- Sieve bootstrap for time series
- THE POWER OF SINGLE EQUATION TESTS FOR COINTEGRATION WHEN THE COINTEGRATING VECTOR IS PRESPECIFIED
- Testing for an unstable root in conditional and structural error correction models
- Weak convergence to the matrix stochastic integral \(\int ^{1}_{0}B\,dB'\)
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
- A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
- Detrending bootstrap unit root tests
- 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
- Nonlinear error correction based cointegration test in panel data
- scientific article; zbMATH DE number 5864669 (Why is no real title available?)
- A simple sieve bootstrap range test for poolability in dependent cointegrated panels
- Testing for cointegration with temporally aggregated and mixed-frequency time series
- 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
- An automated approach towards sparse single-equation cointegration modelling
- Bootstrap union tests for unit roots in the presence of nonstationary volatility
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