Bootstrap test for seasonal cointegrating ranks/ created by Byeongchan Seong

By:

Seong, Byeongchan [author]

Material type: Text

TextSeries: Applied economics letters ; Volume 20, number 2New York: Taylor and Francis, 2013Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

13504851

Subject(s):

Likelihood ratio test -- Seasonal cointegration -- Seasonal unit root

LOC classification:

HB1.A666 APP

Online resources:

Click here to access online

Abstract: 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.

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Item type	Current library	Call number	Vol info	Copy number	Status	Notes	Date due	Barcode
Journal Article	Main Library - Special Collections	HB1.A666 APP (Browse shelf(Opens below))	Vol. 20, no.2 (pages 147-151)	SP17971	Not for loan	For in house use only

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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.

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