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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
Source PublicationMATHEMATICS AND COMPUTERS IN SIMULATION
2008-08-01
Volume78Issue:4Pages:507-513
SubtypeArticle
AbstractA 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.
KeywordThreshold Cointegration Residual-based Moving Block Bootstrap Sup Lm Test Monte Carlo Simulation
WOS HeadingsScience & Technology ; Technology ; Physical Sciences
WOS KeywordERROR-CORRECTION MODELS ; NUISANCE PARAMETER ; HYPOTHESIS ; ADJUSTMENT ; JACKKNIFE ; NULL
Indexed BySCI ; SSCI
Language英语
WOS Research AreaComputer Science ; Mathematics
WOS SubjectComputer Science, Interdisciplinary Applications ; Computer Science, Software Engineering ; Mathematics, Applied
WOS IDWOS:000257366500003
Citation statistics
Cited Times:2[WOS]   [WOS Record]     [Related Records in WOS]
Document Type期刊论文
Identifierhttp://ir.ia.ac.cn/handle/173211/9641
Collection09年以前成果
Affiliation1.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
Recommended Citation
GB/T 7714
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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