Zobrazeno 1 - 7
of 7
pro vyhledávání: '"i.i.d. bootstrap"'
Autor:
Gonçalves, Sílvia, Meddahi, Nour
Publikováno v:
Econometrica, 2009 Jan 01. 77(1), 283-306.
Externí odkaz:
https://www.jstor.org/stable/40056530
Publikováno v:
Econometric Reviews. 32:814-847
In this paper we investigate the role of deterministic components and initial values in bootstrap likelihood ratio type tests of cointegration rank. A number of bootstrap procedures have been proposed in the recent literature some of which include es
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::da05babbf9211505c83a9b99f5f2b0f7
https://doi.org/10.1080/07474938.2012.690677
https://doi.org/10.1080/07474938.2012.690677
Publikováno v:
University of Copenhagen
Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996)
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::d250bcc7e09aa5df4b459e3648b87f6b
https://doi.org/10.2139/ssrn.1551822
https://doi.org/10.2139/ssrn.1551822
Publikováno v:
Guiseppe, C, Rahbæk, A & Taylor, A M R 2010 ' Bootstrap Sequential Determination of the Co-integration Rank in VAR Models ' Institut for Økonomi, Aarhus Universitet, Aarhus .
Cavaliere, G, Rahbek, A & Taylor, A M R 2010 ' Bootstrap Sequential Determination of the Co-integration Rank in VAR Models ' Department of Economics, University of Copenhagen .
Cavaliere, G, Rahbek, A & Taylor, A M R 2010 ' Bootstrap Sequential Determination of the Co-integration Rank in VAR Models ' Department of Economics, University of Copenhagen .
Determining the co-integrating rank of a system of variables has become afundamental aspect of applied research in macroeconomics and finance. It is wellknownthat standard asymptotic likelihood ratio tests for co-integration rankof Johansen (1996) ca
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::b94a22048cdc0c309f37325e4b03c4ac
https://pure.au.dk/portal/da/publications/bootstrap-sequential-determination-of-the-cointegration-rank-in-var-models(9266edd0-162e-11df-b95d-000ea68e967b).html
https://pure.au.dk/portal/da/publications/bootstrap-sequential-determination-of-the-cointegration-rank-in-var-models(9266edd0-162e-11df-b95d-000ea68e967b).html
Publikováno v:
Cavaliere, G, Rahbæk, A & Taylor, A M R 2009 ' Co-integration Rank Testing under Conditional Heteroskedasticity ' Institut for Økonomi, Aarhus Universitet, Aarhus .
We analyse the properties of the conventional Gaussian-based co-integratingrank tests of Johansen (1996) in the case where the vector of series under testis driven by globally stationary, conditionally heteroskedastic (martingale differ-ence) innovat
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=pure_au_____::6d110449227f8fe460619bab19c4fe5d
https://pure.au.dk/portal/da/publications/cointegration-rank-testing-under-conditional-heteroskedasticity(d9b18da0-4b5c-11de-8dc9-000ea68e967b).html
https://pure.au.dk/portal/da/publications/cointegration-rank-testing-under-conditional-heteroskedasticity(d9b18da0-4b5c-11de-8dc9-000ea68e967b).html
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