Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
Year of publication: |
2008
|
---|---|
Authors: | Yang, Zheng ; Tian, Zheng ; Yuan, Zixia |
Published in: |
Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 78.2008, 4, p. 507-513
|
Publisher: |
Elsevier |
Subject: | Threshold cointegration | Residual-based moving block bootstrap | SupLM test | Monte Carlo simulation |
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