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Bootstrapping cointegrating regressions
Chang, Yoosoon; Park, Joon Y.; Song, Kyungchul - In: Journal of econometrics 133 (2006) 2, pp. 703-739
Persistent link: https://www.econbiz.de/10003359625
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Alternative bootstrap procedures for testing cointegration in fractionally integrated processes
Davidson, James E. H. - In: Journal of econometrics 133 (2006) 2, pp. 741-777
Persistent link: https://www.econbiz.de/10003359632
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A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
Swensen, Anders Rygh - In: Journal of econometrics 165 (2011) 2, pp. 152-162
Persistent link: https://www.econbiz.de/10009409699
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Testing cointegration relationship in a semiparametric varying coefficient model
Gu, Jingping; Liang, Zhongwen - In: Journal of econometrics 178 (2014) 1, pp. 57-70
Persistent link: https://www.econbiz.de/10010255469
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Bootstrap inference in systems of single equation error correction models
Herwartz, Helmut; Neumann, Michael H. - In: Journal of econometrics 128 (2005) 1, pp. 165-193
Persistent link: https://www.econbiz.de/10003002296
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Bootstrap testing for the null of no cointegration in a threshold vector error correction model
Seo, Myung Hwan - In: Journal of econometrics 134 (2006) 1, pp. 129-150
Persistent link: https://www.econbiz.de/10003368419
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A model of fractional cointegration, and tests for cointegration using the bootstrap
Davidson, James E. H. - In: Journal of econometrics 110 (2002) 2, pp. 187-212
Persistent link: https://www.econbiz.de/10001703507
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Testing for two-regime threshold cointegration in vector error-correction models
Hansen, Bruce E.; Seo, Byeongseon - In: Journal of econometrics 110 (2002) 2, pp. 293-318
Persistent link: https://www.econbiz.de/10001703515
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Inference on co-integration parameters in heteroskedastic vector autoregressions
Boswijk, Herman Peter; Cavaliere, Giuseppe; Rahbek, Anders - In: Journal of econometrics 192 (2016) 1, pp. 64-85
Persistent link: https://www.econbiz.de/10011615672
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Forecasting using a large number of predictors : is Bayesian shrinkage a valid alternative to principal components?
De Mol, Christine; Giannone, Domenico; Reichlin, Lucrezia - In: Journal of econometrics 146 (2008) 2, pp. 318-328
Persistent link: https://www.econbiz.de/10003782984