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Bootstrap testing of hypotheses on co-integration relations in vector autoregressive models

Cavaliere, Giuseppe; Bohn Nielsen, Heino; Rahbek, Anders - In: Econometrica : journal of the Econometric Society, an … 83 (2015) 2, pp. 813-831

Persistent link: https://www.econbiz.de/10011350499

An empirical examination of the generalized Fisher effect using cross-sectional correlation robust tests for panel cointegration

Omay, Tolga; Yüksel, Aslı; Yüksel, Aydın - In: Journal of international financial markets, … 35 (2015), pp. 18-29

Persistent link: https://www.econbiz.de/10011474678

Bootstrap tests for time varying cointegration

Martins, Luís Filipe - In: Econometric reviews 37 (2018) 1/5, pp. 466-483

Persistent link: https://www.econbiz.de/10012039357

The estimation uncertainty of permanent-transitory decompositions in co-integrated systems

Schreiber, Sven - In: Econometric reviews 38 (2019) 3, pp. 279-300

Persistent link: https://www.econbiz.de/10012181279

Bootstrap co-integration rank testing : the effect of bias-correcting parameter estimates

Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - 2013

In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in … some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we … the corresponding parameter esti- mates taken across a large number of auxiliary bootstrap replications. A number of …

Persistent link: https://www.econbiz.de/10011490238