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Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
Yang, Zheng1; Tian, Zheng1,2; Yuan, Zixia1
2008-08-01
发表期刊MATHEMATICS AND COMPUTERS IN SIMULATION
卷号78期号:4页码:507-513
文章类型Article
摘要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.
关键词Threshold Cointegration Residual-based Moving Block Bootstrap Sup Lm Test Monte Carlo Simulation
WOS标题词Science & Technology ; Technology ; Physical Sciences
关键词[WOS]ERROR-CORRECTION MODELS ; NUISANCE PARAMETER ; HYPOTHESIS ; ADJUSTMENT ; JACKKNIFE ; NULL
收录类别SCI ; SSCI
语种英语
WOS研究方向Computer Science ; Mathematics
WOS类目Computer Science, Interdisciplinary Applications ; Computer Science, Software Engineering ; Mathematics, Applied
WOS记录号WOS:000257366500003
引用统计
被引频次:2[WOS]   [WOS记录]     [WOS相关记录]
文献类型期刊论文
条目标识符http://ir.ia.ac.cn/handle/173211/9641
专题09年以前成果
作者单位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
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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.
APA 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.
MLA 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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