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
β¦ LIBER β¦
The power of bootstrap based tests for parameters in cointegrating regressions
β Scribed by Hongyi Li
- Publisher
- Springer-Verlag
- Year
- 2000
- Tongue
- English
- Weight
- 717 KB
- Volume
- 41
- Category
- Article
- ISSN
- 0932-5026
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