|Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap|
|Yang, Zheng1; Tian, Zheng1,2; Yuan, Zixia1
|Source Publication||MATHEMATICS AND COMPUTERS IN SIMULATION
|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 Sup LM 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 Sup LM test. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved.|
Residual-based Moving Block Bootstrap
Sup Lm Test
Monte Carlo Simulation
|WOS Headings||Science & Technology
; Physical Sciences
|WOS Keyword||ERROR-CORRECTION MODELS
; NUISANCE PARAMETER
|WOS Research Area||Computer Science
|WOS Subject||Computer Science, Interdisciplinary Applications
; Computer Science, Software Engineering
; Mathematics, Applied
|Affiliation||1.NW Polytech Univ, Dept Appl Math, Xian 710072, Peoples R China|
2.Chinese Acad Sci, Inst Automat, Natl Key Lab Pattern Recognit, Beijing 100080, Peoples R China
Yang, Zheng,Tian, Zheng,Yuan, Zixia. Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap[J]. MATHEMATICS AND COMPUTERS IN SIMULATION,2008,78(4):507-513.
Yang, Zheng,Tian, Zheng,&Yuan, Zixia.(2008).Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap.MATHEMATICS AND COMPUTERS IN SIMULATION,78(4),507-513.
Yang, Zheng,et al."Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap".MATHEMATICS AND COMPUTERS IN SIMULATION 78.4(2008):507-513.
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