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Bootstrapping the autoregressive distributed lag test for cointegration
McNown, Robert F.; Sam, Chung Yan; Khoon, Goh Soo - 2016
Persistent link: https://www.econbiz.de/10011661141
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A multivariate autoregressive distributed lag unit root test
McNown, Robert F.; Sam, Chung Yan; Khoon, Goh Soo; Goh, … - 2023
Persistent link: https://www.econbiz.de/10014328846
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The uniform validity of impulse response inference in autoregressions
Inoue, Atsushi; Kilian, Lutz - 2019 - This version: August 11, 2019
Existing proofs of the asymptotic validity of conventional methods of impulse response inference based on higher-order autoregressions are pointwise only. In this paper, we establish the uniform asymptotic validity of conventional asymptotic and bootstrap inference about individual impulse...
Persistent link: https://www.econbiz.de/10012227499
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The uniform validity of impulse response inference in autoregressions
Inoue, Atsushi; Kilian, Lutz - 2019
Persistent link: https://www.econbiz.de/10012033739
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Small sample adjustment for hypotheses testing on cointegrating vectors
Canepa, Alessandra - In: Journal of time series econometrics 14 (2022) 1, pp. 51-85
Persistent link: https://www.econbiz.de/10013260145
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Analysis of panel vector error correction models using maximum likelihood, the bootstrap, and canonical-correlation estimators
Anderson, Richard G. (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003740180
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Robust Bartlett adjustment for hypotheses testing on cointegrating vectors : a bootstrap approach
Canepa, Alessandra - 2012
Persistent link: https://www.econbiz.de/10009573947
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Large panels and high-dimensional vector autoregressive models
Callot, Laurent - 2012
Persistent link: https://www.econbiz.de/10010204938
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Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates
Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - 2013
some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we … significantly improve upon the small sample performance of the bootstrap co-integration rank tests. A brief application of the …
Persistent link: https://www.econbiz.de/10011490238
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Bootstrap LR Tests of Stationarity, Common Trends and Cointegration
Busetti, Fabio - 2011
The paper considers likelihood ratio (LR) tests of stationarity, common trends and cointegration for multivariate time … power gains of the bootstrap LR test are significantly larger for testing the hypothesis of common trends and cointegration …
Persistent link: https://www.econbiz.de/10013125622