Small sample improvements in the thresho
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Zheng Yang; Zheng Tian; Zixia Yuan
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Article
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2008
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Elsevier Science
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English
โ 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