The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
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DOI: 10.1080/07474930500545439
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- James G. MacKinnon & Russell Davidson, 2000. "Improving The Reliability Of Bootstrap Tests," Working Paper 995, Economics Department, Queen's University.
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- Ahlgren, N. & Antell, J., 2008.
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- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Tinbergen Institute Discussion Papers 13-187/III, Tinbergen Institute.
- H. Peter Boswijk & Giuseppe Cavaliere & Anders Rahbek & A.M. Robert Taylor, 2013. "Inference on Co-integration Parameters in Heteroskedastic Vector Autoregressions," Discussion Papers 13-13, University of Copenhagen. Department of Economics.
- Zohrabyan, Tatevik & Leatham, David J. & Bessler, David A., 2008. "Cointegration Analysis of Regional House Prices in U.S," 2007 Agricultural and Rural Finance Markets in Transition, October 4-5, 2007, St. Louis, Missouri 48138, Regional Research Committee NC-1014: Agricultural and Rural Finance Markets in Transition.
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- Davidson, Russell & Trokić, Mirza, 2020.
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Journal of Econometrics, Elsevier, vol. 218(2), pages 451-475.
- Russell Davidson & Mirza Trokić, 2020. "The fast iterated bootstrap," Post-Print hal-02965001, HAL.
- Canepa, Alessandra, 2020. "Bootstrap Bartlett Adjustment for Hypotheses Testing on Cointegrating Vectors," Department of Economics and Statistics Cognetti de Martiis. Working Papers 202006, University of Turin.
- Di Iorio, Francesca & Fachin, Stefano, 2007. "Cointegration testing in dependent panels with breaks," MPRA Paper 3139, University Library of Munich, Germany.
- Chor Foon Tang & Kean Siang Ch’ng, 2012. "A Multivariate Analysis of the Nexus between Savings and Economic Growth in the ASEAN-5 Economies," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 6(3), pages 385-406, August.
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- Takamitsu Kurita, 2009. "A note on small-sample correction for hypothesis testing on cointegrating vectors: recursive Monte Carlo analysis," Economics Bulletin, AccessEcon, vol. 29(3), pages 1588-1595.
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- Swensen, Anders Rygh, 2011. "A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables," Journal of Econometrics, Elsevier, vol. 165(2), pages 152-162.
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Keywords
Bartlett correction; Bootstrap; Cointegration; Fast double bootstrap;All these keywords.
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