✦ LIBER ✦
Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
✍ Scribed by Zheng Yang; Zheng Tian; Zixia Yuan
- Publisher
- Elsevier Science
- Year
- 2008
- Tongue
- English
- Weight
- 121 KB
- Volume
- 78
- Category
- Article
- ISSN
- 0378-4754
No coin nor oath required. For personal study only.
✦ Synopsis
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 test proposed by Gonzalo and Pitarakis. Indeed, shortcomings of the former motivated the development of our test. The small sample performance of the bootstrap test is investigated by Monte Carlo simulations, and the results show that the test performs better than the Sup LM test.