✦ LIBER ✦

Size improvement of the KPSS test using sieve bootstraps

✍ Scribed by Jin Lee; Young Im Lee

Book ID: 116423423
Publisher: Elsevier Science
Year: 2012
Tongue: English
Weight: 193 KB
Volume: 116
Category: Article
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2012.04.054

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Reducing the size distortion of the KPSS

Reducing the size distortion of the KPSS test

✍ Eiji Kurozumi; Shinya Tanaka 📂 Article 📅 2010 🏛 John Wiley and Sons 🌐 English ⚖ 727 KB

A test for fractional cointegration usin

A test for fractional cointegration using the sieve bootstrap

✍ Margherita Gerolimetto; Isabella Procidano 📂 Article 📅 2007 🏛 Springer 🌐 English ⚖ 302 KB

A note on the size of the KPSS unit root

A note on the size of the KPSS unit root test

✍ Jen-Je Su; Christine Amsler; Peter Schmidt 📂 Article 📅 2012 🏛 Elsevier Science 🌐 English ⚖ 188 KB

A Sieve Bootstrap For The Test Of A Unit

A Sieve Bootstrap For The Test Of A Unit Root

✍ YOOSOON CHANG; JOON Y. PARK 📂 Article 📅 2003 🏛 John Wiley and Sons 🌐 English ⚖ 176 KB

Small sample improvements in the thresho

Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap

✍ Zheng Yang; Zheng Tian; Zixia Yuan 📂 Article 📅 2008 🏛 Elsevier Science 🌐 English ⚖ 121 KB

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

Size and Power of the Error Correction M

Size and Power of the Error Correction Model Cointegration Test. A Bootstrap Approach

✍ Panagiotis Mantalos; Ghazi Shukur 📂 Article 📅 1998 🏛 John Wiley and Sons 🌐 English ⚖ 336 KB