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Small sample testing for cointegration using the bootstrap approach

โœ Scribed by R.I.D. Harris; G. Judge


Book ID
117333105
Publisher
Elsevier Science
Year
1998
Tongue
English
Weight
55 KB
Volume
58
Category
Article
ISSN
0165-1765

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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