A procedure to detect hidden cointegration with the sieve bootstrap

zbMATH Open1255.91352MaRDI QIDQ4902800FDOQ4902800

Authors:

Publication date: 18 January 2013

Full work available at URL: http://www.pphmj.com/abstract/7149.htm

Recommendations

• A sieve bootstrap test for cointegration in a conditional error correction model
• A mixture‐distribution factor model for multivariate outliers
• A test for fractional cointegration using the sieve bootstrap
• Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
• Bootstrapping cointegrating regressions

zbMATH Keywords

sieve bootstraphidden cointegration

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

This page was built for publication: A procedure to detect hidden cointegration with the sieve bootstrap

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4902800)