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Gregory, Allan W.; Nason, James M. - Economics Department, Queen's University - 1991

to the tests of Hansen, we consider the sensitivity of the augmented Dicky-Fuller (ADF) teest for cointegration in the … failure to reject the null of no cointegration). As a practical example we consider the stability of the long-run coefficients …

Persistent link: https://www.econbiz.de/10005688183

residual-Based Tests for Cointegration in Models with Regime Shifts

Gregory, Allan w.; Hansen, Bruce E. - Economics Department, Queen's University - 1992

In this paper we examine tests for cointegration which allow for the possibility of regime shifts. We propose augmented … Dickey-Fuller (ADF) and Phillips type tests designed to test the null of no cointegration against the alternative of … cointegration in the presence of a possible regime shift. In particular we consider cases where the intercept and/or slope …

Persistent link: https://www.econbiz.de/10005688254

Critical Values for Cointegration Tests

MacKinnon, James G. - Economics Department, Queen's University - 2010

This paper provides tables of critical values for some popular tests of cointegration and unit roots. Although these …

Persistent link: https://www.econbiz.de/10008556270

Artificial Regressions

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2001

Associated with every popular nonlinear estimation method is at least one "artificial" linear regression. We define an artificial regression in terms of three conditions that it must satisfy. Then we show how artificial regressions can be useful for numerical optimization, testing hypotheses,...

Persistent link: https://www.econbiz.de/10005653239

Bootstrap Tests: How Many Bootstraps?

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2001

In practice, bootstrap tests must use a finite number of bootstrap samples. This means that the outcome of the test will depend on the sequence of random numbers used to generate the bootstrap samples, and it necessarily results in some loss of power. We examine the extent of this power loss and...

Persistent link: https://www.econbiz.de/10005653263

Bootstrap Methods in Econometrics

MacKinnon, James G. - Economics Department, Queen's University - 2006

There are many bootstrap methods that can be used for econometric analysis. In certain circumstances, such as regression models with independent and identically distributed error terms, appropriately chosen bootstrap methods generally work very well. However, there are many other cases, such as...

Persistent link: https://www.econbiz.de/10005688288

Improving the Reliability of Bootstrap Tests

Davidson, Russell; MacKinnon, James G. - Economics Department, Queen's University - 2000

We first propose procedures for estimating the rejection probabilities for bootstrap tests in Monte Carlo experiments without actually computing a bootstrap test for each replication. These procedures are only about twice as expensive as estimating rejection probabilities for asymptotic tersts....

Persistent link: https://www.econbiz.de/10005688294

Simulation-based Tests that Can Use Any Number of Simulations

Racine, Jeff; MacKinnon, James G. - Economics Department, Queen's University - 2004

Conventional procedures for Monte Carlo and bootstrap tests require that B, the number of simulations, satisfy a specific relationship with the level of the test. Otherwise, a test that would instead be exact will either overreject or underreject for finite B. We present expressions for the...

Persistent link: https://www.econbiz.de/10005688306

Bootstrap Hypothesis Testing

MacKinnon, James G. - Economics Department, Queen's University - 2007

This paper surveys bootstrap and Monte Carlo methods for testing hypotheses in econometrics. Several different ways of computing bootstrap P values are discussed, including the double bootstrap and the fast double bootstrap. It is emphasized that there are many different procedures for...

Persistent link: https://www.econbiz.de/10005688319

Applications of the Fast Double Bootstrap

MacKinnon, James G. - Economics Department, Queen's University - 2006

The fast double bootstrap, or FDB, is a procedure for calculating bootstrap P values that is much more computationally efficient than the double bootstrap itself. In many cases, it can provide more accurate results than ordinary bootstrap tests. For the fast double bootstrap to be valid, the...

Persistent link: https://www.econbiz.de/10005688320