In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … the bootstrap test procedures are derived and their small sample properties are studied. The simulation study also …

and we use it for the integrals arising in rational expecta- tions and in nonlinear state space lters. The estimation step …

We present a comprehensive framework for Bayesian estimation of structural nonlinear dynamic economic models on sparse … variances, allows for unbiased convergence diagnostics and for a simple implementation of the estimation on parallel computers …. Finally, we provide all algorithms in the open source software JBendge4 for the solution and estimation of a general class of …

A multiplier bootstrap procedure for construction of likelihood-based condence sets is considered for nite samples and … a possible model misspecication. Theoretical results justify the bootstrap consistency for a small or moderate sample … size and allow to control the impact of the parameter dimension p: the bootstrap approximation works if p3=n is small. The …

impulse responses, a standard percentile (Efron) bootstrap interval, Hall’s percentile and Hall’s studentized bootstrap … little to choose between the asymptotic and the Hall bootstrap intervals in SVECMs. In contrast, the Efron bootstrap interval …

confirmed in a simulation study. We summarize serial correlation robust test procedures and propose a bootstrap approach. By …