Small sample testing for cointegration using the bootstrap approach

DOI10.1016/S0165-1765(97)00275-9MaRDI QIDQ1128550zbMATH OpenOpenAlexFDO

Authors S. H. Smith

Publication date 13 August 1998

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0165-1765(97)00275-9

zbMATH Keywords

Monte Carlocointegrationbootstrapping

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Statistical methods; economic indices and measures (91B82)

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Cites work

• scientific article; zbMATH DE number 52649 (Why is no real title available?)
• scientific article; zbMATH DE number 768016 (Why is no real title available?)
• Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
• Bootstrapping unstable first-order autoregressive processes
• Comparisons of tests for multivariate cointegration
• Edgeworth correction by bootstrap in autoregressions
• Forecasting and testing in co-integrated systems
• Statistical analysis of cointegration vectors
• Testing for unit roots using the augmented Dickey-Fuller test. Some issues relating to the size, power and the lag structure of the test
• Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK
• Testing the autoregressive parameter with the t statistic
• The Stationary Bootstrap
• The power of bootstrap and asymptotic tests

Cited in

(10)

• Bootstrap tests for time varying cointegration
• Cointegration rank switching model: an application to forecasting interest rates
• A REVIEW OF SYSTEMS COINTEGRATION TESTS
• Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
• Cointegration rank testing under conditional heteroskedasticity
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
• Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
• Bootstrap cointegration rank testing: the role of deterministic variables and initial values in the bootstrap recursion
• Booststrapped johansen tests for cointegration relationships: a graphical analysis

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