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Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models

Citations

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Cited by:

  1. Luca Benati, 2017. "Cointegration Tests and the Classical Dichotomy," Diskussionsschriften dp1704, Universitaet Bern, Departement Volkswirtschaft.
  2. Benati, Luca, 2015. "The long-run Phillips curve: A structural VAR investigation," Journal of Monetary Economics, Elsevier, vol. 76(C), pages 15-28.
  3. Giuseppe Cavaliere & Anders Rahbek, 2019. "A Primer On Bootstrap Testing Of Hypotheses In Time Series Models: With An Application To Double Autoregressive Models," Discussion Papers 19-03, University of Copenhagen. Department of Economics.
  4. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
  5. Benati, Luca & Lucas, Robert E. & Nicolini, Juan Pablo & Weber, Warren, 2021. "International evidence on long-run money demand," Journal of Monetary Economics, Elsevier, vol. 117(C), pages 43-63.
  6. Cavaliere, Giuseppe & Nielsen, Morten Ørregaard & Taylor, A.M. Robert, 2015. "Bootstrap score tests for fractional integration in heteroskedastic ARFIMA models, with an application to price dynamics in commodity spot and futures markets," Journal of Econometrics, Elsevier, vol. 187(2), pages 557-579.
  7. H. Peter Boswijk & Giuseppe Cavaliere & Luca De Angelis & A. M. Robert Taylor, 2023. "Adaptive information-based methods for determining the co-integration rank in heteroskedastic VAR models," Econometric Reviews, Taylor & Francis Journals, vol. 42(9-10), pages 725-757, November.
  8. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Carsten Jentsch & Dimitris N. Politis & Efstathios Paparoditis, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 416-441, May.
  9. Anne Lundgaard Hansen, 2018. "Volatility-Induced Stationarity and Error-Correction in Macro-Finance Term Structure Modeling," Discussion Papers 18-12, University of Copenhagen. Department of Economics.
  10. Boswijk, H. Peter & Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2016. "Inference on co-integration parameters in heteroskedastic vector autoregressions," Journal of Econometrics, Elsevier, vol. 192(1), pages 64-85.
  11. Belongia, Michael T. & Ireland, Peter N., 2019. "The demand for Divisia Money: Theory and evidence," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
  12. Matei Demetrescu & Christoph Hanck & Adina I. Tarcolea, 2014. "Iv-Based Cointegration Testing In Dependent Panels With Time-Varying Variance," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(5), pages 393-406, August.
  13. Jurgen A. Doornik, 2017. "Maximum Likelihood Estimation of the I(2) Model under Linear Restrictions," Econometrics, MDPI, vol. 5(2), pages 1-20, May.
  14. Jesús Otero & Theodore Panagiotidis & Georgios Papapanagiotou, 2022. "Multivariate Cointegration and Temporal Aggregation: Some Further Simulation Results," Computational Economics, Springer;Society for Computational Economics, vol. 59(1), pages 59-70, January.
  15. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
  16. Ingrid Groessl & Artur Tarassow, 2015. "A Microfounded Model of Money Demand Under Uncertainty, and some Empirical Evidence," Macroeconomics and Finance Series 201504, University of Hamburg, Department of Socioeconomics, revised Jan 2018.
  17. Niklas Ahlgren & Paul Catani, 2017. "Wild bootstrap tests for autocorrelation in vector autoregressive models," Statistical Papers, Springer, vol. 58(4), pages 1189-1216, December.
  18. Marcus J. Chambers, 2015. "A Jackknife Correction to a Test for Cointegration Rank," Econometrics, MDPI, vol. 3(2), pages 1-21, May.
  19. Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 269-271, May.
  20. Al-Sadoon, Majid M., 2017. "A unifying theory of tests of rank," Journal of Econometrics, Elsevier, vol. 199(1), pages 49-62.
  21. Andreas Hetland & Simon Hetland, 2017. "Short-Term Expectation Formation Versus Long-Term Equilibrium Conditions: The Danish Housing Market," Econometrics, MDPI, vol. 5(3), pages 1-21, September.
  22. Shuping Shi & Peter C. B. Phillips & Stan Hurn, 2018. "Change Detection and the Causal Impact of the Yield Curve," Journal of Time Series Analysis, Wiley Blackwell, vol. 39(6), pages 966-987, November.
  23. Eroğlu, Burak Alparslan, 2019. "Wavelet variance ratio cointegration test and wavestrapping," Journal of Multivariate Analysis, Elsevier, vol. 171(C), pages 298-319.
  24. Burak Eroglu, 2017. "Wavelet Variance Ratio Test And Wavestrapping For The Determination Of The Cointegration Rank," Working Papers 1706, The Center for Financial Studies (CEFIS), Istanbul Bilgi University.
  25. Marçal, Emerson & Simões, Oscar Rodrigues, 2024. "Current account and real effective exchange rate dynamics: the role of non-linear dynamics in Brazil," Textos para discussão 571, FGV EESP - Escola de Economia de São Paulo, Fundação Getulio Vargas (Brazil).
  26. Sven Schreiber, 2019. "On (bootstrapped) cointegration tests in partial systems," IMK Working Paper 199-2019, IMK at the Hans Boeckler Foundation, Macroeconomic Policy Institute.
  27. Phillips, Peter C.B. & Magdalinos, Tassos, 2013. "Inconsistent Var Regression With Common Explosive Roots," Econometric Theory, Cambridge University Press, vol. 29(4), pages 808-837, August.
  28. Jentsch, Carsten & Paparoditis, Efstathios & Politis, Dimitris N., 2014. "Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes," Working Papers 14-18, University of Mannheim, Department of Economics.
  29. Gkillas, Konstantinos & Konstantatos, Christoforos & Floros, Christos & Tsagkanos, Athanasios, 2021. "Realized volatility spillovers between US spot and futures during ECB news: Evidence from the European sovereign debt crisis," International Review of Financial Analysis, Elsevier, vol. 74(C).
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