Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap

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	Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
	Yang, Zheng 1; Tian, Zheng 1,2; Yuan, Zixia 1
发表期刊	MATHEMATICS AND COMPUTERS IN SIMULATION
	2008-08-01
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：3[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
推荐引用方式 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.