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Bootstrap determination of the co-integration rank in heteroskedastic VAR Models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, Robert - 2012

Persistent link: https://www.econbiz.de/10009614507

Testing for breaks in cointegrated panels : with an application to the Feldstein-Horioka puzzle

Di Iorio, Francesca (contributor); … - 2007

Stability tests for cointegrating coefficients are known to have very low power with small to medium sample sizes. In this paper we propose to solve this problem by extending the tests to dependent cointegrated panels through the stationary bootstrap. Simulation evidence shows that the proposed...

Persistent link: https://www.econbiz.de/10003631558

Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms

Trenkler, Carsten - In: Econometric theory 25 (2009) 1, pp. 243-269

Persistent link: https://www.econbiz.de/10003816228

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

Revisiting the causality between electricity consumption and economic growth in South Africa : a bootstrap rolling-window approach

Dlamini, Janneke; Balcilar, Mehmet; Gupta, Rangan; … - In: International journal of economic policy in emerging … 8 (2015) 2, pp. 169-190

Persistent link: https://www.econbiz.de/10011412719

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

Cavaliere, Giuseppe; Taylor, Robert; Trenkler, Carsten - In: Oxford bulletin of economics and statistics 77 (2015) 5, pp. 740-759

Persistent link: https://www.econbiz.de/10011383823

Nonlinear adjustment between the Eonia and Euribor rates : a two-regime threshold cointegration analysis

Tamakoshi, Go; Hamori, Shigeyuki - In: Applied financial economics 24 (2014) 1/3, pp. 139-143

Persistent link: https://www.econbiz.de/10010391461

The bootstrap and the edgeworth correction for semiparametric averaged derivatives

Nishiyama, Yoshihiko (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002227754

Examining world-wide purchasing power parity

Jacobson, Tor; Nessén, Marianne - In: Empirical economics : a journal of the Institute for … 29 (2004) 3, pp. 463-476

Persistent link: https://www.econbiz.de/10002222048

Retesting symmetry and homogeneity in a cointegrated demand system with bootstrapping : the case of meat demand in Greece

Balcombe, Kelvin G. - In: Empirical economics : a journal of the Institute for … 29 (2004) 2, pp. 451-462

Persistent link: https://www.econbiz.de/10002080140