| 000 | 01212nam a22002297a 4500 | ||
|---|---|---|---|
| 003 | ZW-GwMSU | ||
| 005 | 20240322100413.0 | ||
| 008 | 240322b |||||||| |||| 00| 0 eng d | ||
| 022 | _a02664666 | ||
| 040 |
_aMSU _bEnglish _cMSU _erda |
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| 050 | 0 | 0 | _aHB139.T52 ECO |
| 245 | 1 | 0 |
_aLasso-type GMM estimator _ccreated by Mehmet Caner |
| 264 | 1 |
_aCambridge: _bCambridge University Press, _c2009. |
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| 336 |
_2rdacontent _atext _btxt |
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| 337 |
_2rdamedia _aunmediated _bn |
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| 338 |
_2rdacarrier _avolume _bnc |
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| 440 |
_aEconometric theory _vVolume 25, number 1 |
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| 520 | 3 | _aIn 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. | |
| 650 | _aMethod of moments | ||
| 856 | _uhttps://doi.org/10.1017/S0266466608090087 | ||
| 942 |
_2lcc _cJA |
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| 999 |
_c164509 _d164509 |
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