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A multivariate autoregressive distributed lag unit root test
McNown, Robert F.; Sam, Chung Yan; Khoon, Goh Soo; Goh, … - 2023
Persistent link: https://www.econbiz.de/10014328846
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Large panels and high-dimensional vector autoregressive models
Callot, Laurent - 2012
Persistent link: https://www.econbiz.de/10010204938
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Lag length selection for unit root tests in the presence of nonstationary volatility
Cavaliere, Giuseppe; Phillips, Peter C. B.; Smeekes, Stephan - In: Econometric reviews 34 (2015) 1/5, pp. 512-536
Persistent link: https://www.econbiz.de/10011373261
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Impulse response analysis in vector autoregressions with unknown lag order
Kilian, Lutz - In: Journal of forecasting 20 (2001) 3, pp. 161-179
Persistent link: https://www.econbiz.de/10001570835
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Detecting bubbles in the US stock market : a new evidence from the bootstrap cointegration test in ESTAR error correction model
Cagli, Efe Çaglar; Mandacı, Pınar Evrım - In: The empirical economics letters : a monthly … 16 (2017) 9, pp. 941-950
Persistent link: https://www.econbiz.de/10011907050
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Financial structure and economic growth
Luintel, Kul Bahadur; Khan, Mosahid; Arestis, Philip; … - In: Journal of development economics 86 (2008) 1, pp. 181-200
Persistent link: https://www.econbiz.de/10003717719
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A sieve bootstrap test for cointegration in a conditional error correction model
Palm, Franz C.; Smeekes, Stephan; Urbain, Jean-Pierre - 2007
Persistent link: https://www.econbiz.de/10003647697
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A test for fractional cointegration using the sieve bootstrap
Gerolimetto, Margherita; Procidano, Isaebella - In: Statistical methods & applications : SMA ; journal of … 17 (2008) 3, pp. 373-391
Persistent link: https://www.econbiz.de/10003737677
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Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms
Trenkler, Carsten (contributor) - 2006
In this paper we analyse bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic … considers the standard asymptotic test versions and the Johansen cointegration test for comparison. -- Bootstrap ; Systems … cointegration tests ; VEC models …
Persistent link: https://www.econbiz.de/10003324256
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The size and power of bootstrap and Bartlett-corrected tests of hypotheses on the cointegrating vectors
Omtzigt, Pieter; Fachin, Stefano - In: Econometric reviews 25 (2006) 1, pp. 41-60
Persistent link: https://www.econbiz.de/10003309354