A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
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Cites work
- scientific article; zbMATH DE number 4102349 (Why is no real title available?)
- scientific article; zbMATH DE number 193126 (Why is no real title available?)
- scientific article; zbMATH DE number 274399 (Why is no real title available?)
- A Sieve Bootstrap For The Test Of A Unit Root
- A characterization of vector autoregressive processes with common cyclical features
- A sieve bootstrap test for cointegration in a conditional error correction model
- AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
- BREAK DATE ESTIMATION FOR VAR PROCESSES WITH LEVEL SHIFT WITH AN APPLICATION TO COINTEGRATION TESTING
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Bootstrap Unit Root Tests
- Bootstrap tests: how many bootstraps?
- Bootstrapping cointegrating regressions
- Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
- Bootstrapping unit root tests for integrated processes
- Cointegration rank inference with stationary regressors in VAR models
- Cointegration rank testing under conditional heteroskedasticity
- Consistent autoregressive spectral estimates
- Granger's representation theorem: A closed‐form expression for I(1) processes
- Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
- Moving-average representation of autoregressive approximations
- Residual-Based Block Bootstrap for Unit Root Testing
- Sieve bootstrap for time series
- Statistical inference on cointegration rank in error correction models with stationary covariates
- Testing for co-integration in vector autoregressions with non-stationary volatility
- Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
- The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
- The role of the constant and linear terms in cointegration analysis of nonstationary variables
- Theoretical comparisons of block bootstrap methods
Cited in
(9)- Stationary bootstrapping for cointegrating regressions
- Bootstrap determination of the co-integration rank with unknown lag order in VAR model: application on Egypt's imports from the main crops
- Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
- Bootstrap Determination of the Co‐Integration Rank in VAR Models with Unrestricted Deterministic Components
- Bootstrap determination of the co-integration rank in vector autoregressive models
- Block bootstrap theory for multivariate integrated and cointegrated processes
- Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models
- Cointegration rank inference with stationary regressors in VAR models
- A bootstrap causality test for covariance stationary processes
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