Name
Title | ||
|---|---|---|
Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap |
Abstract | ||
|---|---|---|
A residual-based moving block bootstrap procedure for testing the null hypothesis of linear cointegration versus cointegration with threshold effects is proposed. When the regressors and errors of the models are serially and contemporaneously correlated, our test compares favourably with the SupLM test proposed by Gonzalo and Pitarakis. Indeed, shortcomings of the former motivated the development of our test. The small sample performance of the bootstrap test is investigated by Monte Carlo simulations, and the results show that the test performs better than the SupLM test. |
Year | DOI | Venue |
|---|---|---|
2008 | 10.1016/j.matcom.2007.06.005 | Mathematics and Computers in Simulation |
Keywords | Field | DocType |
monte carlo simulation,suplm test,bootstrap test,threshold effect,threshold cointegration test,linear cointegration,block bootstrap procedure,small sample improvement,small sample performance,null hypothesis | Residual,Monte Carlo method,Cointegration,Null hypothesis,Statistics,Bootstrapping (electronics),Mathematics | Journal |
Volume | Issue | ISSN |
78 | 4 | Mathematics and Computers in Simulation |
Citations | PageRank | References |
1 | 0.42 | 1 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Zheng Yang | 1 | 1 | 0.42 |
| Zheng Tian | 2 | 24 | 6.88 |
| Zixia Yuan | 3 | 6 | 0.96 |