Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
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Cited by:
- Davidson, James & Hashimzade, Nigar, 2009.
"Type I and type II fractional Brownian motions: A reconsideration,"
Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2089-2106, April.
- James Davidson & Nigar Hashimzade, 2008. "Type I and Type II Fractional Brownian Motions: a Reconsideration," Discussion Papers 0816, University of Exeter, Department of Economics.
- Davidson, James & Monticini, Andrea, 2010.
"Tests for cointegration with structural breaks based on subsamples,"
Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2498-2511, November.
- James Davidson & Andrea Monticini, 2007. "Tests for Cointegration with Structural Breaks Based on Subsamples," Discussion Papers 0704, University of Exeter, Department of Economics.
- Omtzigt Pieter & Fachin Stefano, 2002. "Bootstrapping and Bartlett corrections in the cointegrated VAR model," Economics and Quantitative Methods qf0212, Department of Economics, University of Insubria.
- Davidson, Russell & MacKinnon, James G., 2007.
"Improving the reliability of bootstrap tests with the fast double bootstrap,"
Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3259-3281, April.
- Russell Davidson & James Mackinnon, 2006. "Improving the reliability of bootstrap tests with the fast double bootstrap," Working Papers halshs-00439247, HAL.
- James G. MacKinnon & Russell Davidson, 2006. "Improving The Reliability Of Bootstrap Tests With The Fast Double Bootstrap," Working Paper 1044, Economics Department, Queen's University.
- Boubaker, Heni & Zorgati, Mouna Ben Saad & Bannour, Nawres, 2021. "Interdependence between exchange rates: Evidence from multivariate analysis since the financial crisis to the COVID-19 crisis," Economic Analysis and Policy, Elsevier, vol. 71(C), pages 592-608.
- James G. MacKinnon, 2006. "Applications Of The Fast Double Bootstrap," Working Paper 1023, Economics Department, Queen's University.
- Davidson, Russell & Trokić, Mirza, 2020.
"The fast iterated bootstrap,"
Journal of Econometrics, Elsevier, vol. 218(2), pages 451-475.
- Russell Davidson & Mirza Trokić, 2020. "The fast iterated bootstrap," Post-Print hal-02965001, HAL.
- Franco, G.C. & Reisen, V.A. & Alves, F.A., 2013. "Bootstrap tests for fractional integration and cointegration: A comparison study," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 87(C), pages 19-29.
- Lasak, Katarzyna, 2010.
"Likelihood based testing for no fractional cointegration,"
Journal of Econometrics, Elsevier, vol. 158(1), pages 67-77, September.
- Katarzyna Lasak, 2008. "Likelihood based testing for no fractional cointegration," CREATES Research Papers 2008-52, Department of Economics and Business Economics, Aarhus University.
- Avarucci, Marco & Velasco, Carlos, 2009.
"A Wald test for the cointegration rank in nonstationary fractional systems,"
Journal of Econometrics, Elsevier, vol. 151(2), pages 178-189, August.
- Avarucci, M. & Velasco, C., 2008. "A wald test for the cointegration rank in nonstationary fractional systems," Research Memorandum 049, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
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