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Residual-based block bootstrap for cointegration testing

โœ Scribed by Badillo, Rosa; Belaire-Franch, Jorge; Reverte, Carmelo


Book ID
126849266
Publisher
Taylor and Francis Group
Year
2010
Tongue
English
Weight
125 KB
Volume
17
Category
Article
ISSN
1350-4851

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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