Bootstrap test for seasonal cointegrating ranks/
Seong, Byeongchan
Bootstrap test for seasonal cointegrating ranks/ created by Byeongchan Seong - Applied economics letters Volume 20, number 2 .
We consider a bootstrap algorithm for the Likelihood Ratio (LR) test of seasonal Cointegrating (CI) ranks as the extension of Swensen (2006). Through a small Monte Carlo simulation experiment, we find that the bootstrap algorithm can effectively improve size distortions of the LR test.
13504851
Likelihood ratio test--Seasonal unit root--Seasonal cointegration
HB1.A666 APP
Bootstrap test for seasonal cointegrating ranks/ created by Byeongchan Seong - Applied economics letters Volume 20, number 2 .
We consider a bootstrap algorithm for the Likelihood Ratio (LR) test of seasonal Cointegrating (CI) ranks as the extension of Swensen (2006). Through a small Monte Carlo simulation experiment, we find that the bootstrap algorithm can effectively improve size distortions of the LR test.
13504851
Likelihood ratio test--Seasonal unit root--Seasonal cointegration
HB1.A666 APP