test statistics are derived on the basis of the trend-adjusted data and their asymptotic distributions are considered under …

A test procedure based on ranks is suggested to test for nonlinear cointegration. For two (or more) time series it is … is no cointegration between the time series, the sequences of ranks tend to diverge, whereas under cointegration the … perform better than their parametric competitors. To test for nonlinear cointegration a variable addition test based on ranks …

We propose in this article a two-step testing procedure of fractional cointegration in macroeconomic time series. It is … article. -- Fractional cointegration ; Long memory …

of curves that have to be estimated nonparametrically. Several bootstrap tests are proposed. The behavior of the tests is … ; parametric bootstrap ; semiparametric …

partial correlation with the stock return. In most of the annual regressions the corresponding coefficients have the correct …

comparative quantitative Analysis. In this paper we propose a new bootstrap, or Monte Carlo, approach to such problems …. Traditional bootstrap methods in this context file based on fitting a process chosen from a wide but relatively conventional range …