the economic relationship. Critical values for these tests are estimated by means of the wild bootstrap that copes with … not invariant with respect to the investigated sample period. -- Purchasing power parity ; Panel cointegration ; Wild … bootstrap …

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 …

to construct a confidence set for the cointegration rank. As the latter test, our tests are based on the eigenvalues of a … to Johansen's LR tests for determining the cointegration rank. …

bootstrap versions of the tests have much better properties in this respect. In other words, the bootstrap can be used to size …-adjust the tests. -- vector autoregressive process ; vector error correction model ; bootstrap ; stability tests …

correction models ; panel cointegration analysis ; bootstrap … assumptions on weak exogeneity and cointegration. We consider OLS-based tests on long-run relationships, weak exogeneity and short … conditional heteroskedasticity. We show that the wild bootstrap provides convenient critical values for the considered OLS …

Bootstrap confidence intervals for impulse responses computed from autoregressive processes are considered. A detailed … situations of practical importance. For a simple case alternative bootstrap methods are proposed which provide correct results …

the residuals. Static and dynamic properties can be tested using both asymptotic and bootstrap methods. Our monte carlo … simulations suggest that bootstrap confidence intervals are far superior to aymptotic ones particularly when estimating … density estimation ; nonparametric least squares ; bootstrap inference ; monotonicity ; convexity …