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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

A bootstrap cointegrated rank test for panels of VAR models

Callot, Laurent A. F. - 2010

Persistent link: https://www.econbiz.de/10008746090

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

Testing for parameter restrictions in a stationary VAR model : a bootstrap alternative

Kim, Jae H. - In: Economic modelling 41 (2014), pp. 267-273

Persistent link: https://www.econbiz.de/10010438337

Testing for Parameter Restrictions in a Stationary VAR Model : A Bootstrap Alternative

Kim, Jae H. - 2014

This paper proposes the use of the bootstrap when the system Wald test is employed to test for linear restrictions in a … stationary vector autoregressive (VAR) model. The bootstrap test is conducted using the generalized least square estimator for … VAR parameters, which takes account of contemporaneous correlations among the error terms. It is found that the bootstrap …

Persistent link: https://www.econbiz.de/10013058819