Lasso-type GMM estimator created by Mehmet Caner

Material type: Text

TextSeries: Econometric theory ; Volume 25, number 1Cambridge: Cambridge University Press, 2009Content type:

text

Media type:

unmediated

Carrier type:

volume

ISSN:

02664666

Subject(s):

Method of moments

LOC classification:

HB139.T52 ECO

Online resources:

Click here to access online

Abstract: In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). The asymptotic properties of the bootstrap test procedures are derived, and their small-sample properties are studied. The simulation study also considers the standard asymptotic test versions and the Johansen cointegration test for comparison.

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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	HB139.T52 ECO (Browse shelf(Opens below))	Vol. 25, no.1 (pages 270-290)	SP3256	Not for loan	For In House Use Only

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Previous	HB139.T52 ECO A generalized portmanteau test for independence between two stationary time series	HB139.T52 ECO Computationally efficient recursions for top-order invariant polynomials with applications	HB139.T52 ECO Bootstrapping systems cointegration tests with a prior adjustment for deterministic terms	HB139.T52 ECO Lasso-type GMM estimator	HB139.T52 ECO Finite-sample moments of the coefficient of variation	HB139.T52 ECO Adding regressors to obtain efficiency	HB139.T52 ECO Unit root testing in practice: dealing with uncertainty over the trend and initial condition	Next

In this paper we analyze bootstrap procedures for systems cointegration tests with a prior adjustment for deterministic terms suggested by Saikkonen et al. (2006, Econometric Theory 22, 15–68) and Saikkonen and Lütkepohl (2000, Journal of Time Series Analysis 21, 435–456). The asymptotic properties of the bootstrap test procedures are derived, and their small-sample properties are studied. The simulation study also considers the standard asymptotic test versions and the Johansen cointegration test for comparison.

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