Advanced Search
MyIDEAS: Login to save this article or follow this journal

Bootstrapping the Trace Statistic in VAR Models: Monte Carlo Results and Applications

Contents:

Author Info

  • van Giersbergen, Noud P A

Abstract

This paper investigates through Monte Carlo experiments both size and power properties of a bootstrapped trace statistic in two prototypical DGPs. The Monte Carlo results indicate that the ordinary bootstrap has similar size and power properties as inference procedures based on asymptotic critical values. Considering empirical size, the stationary bootstrap is found to provide a uniform improvement over the ordinary bootstrap if the dynamics is underspecified. The use of the stationary bootstrap as a diagnostic tool is suggested. In two illustrative examples this seems to work, and again it appears that the bootstrap incorporates the finite-sample correction required for the asymptotic critical values to apply. Copyright 1996 by Blackwell Publishing Ltd

Download Info

To our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.

Bibliographic Info

Article provided by Department of Economics, University of Oxford in its journal Oxford Bulletin of Economics & Statistics.

Volume (Year): 58 (1996)
Issue (Month): 2 (May)
Pages: 391-408

as in new window
Handle: RePEc:bla:obuest:v:58:y:1996:i:2:p:391-408

Contact details of provider:
Postal: Manor Rd. Building, Oxford, OX1 3UQ
Email:
Web page: http://www.blackwellpublishing.com/journal.asp?ref=0305-9049
More information through EDIRC

Order Information:
Web: http://www.blackwellpublishing.com/subs.asp?ref=0305-9049

Related research

Keywords:

References

No references listed on IDEAS
You can help add them by filling out this form.

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Ahlgren, Niklas & Antell, Jan, 2006. "Bootstrap and Fast Double Bootstrap Tests of Cointegration Rank with Financial Time Series," Working Papers, Hanken School of Economics 519, Hanken School of Economics.
  2. Carsten Trenkler, 2008. "Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms," Computational Statistics, Springer, Springer, vol. 23(1), pages 19-39, January.
  3. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2002. "Real and monetary convergence within the European Union and between the European Union and candidate countries: A rolling cointegration approach," ZEI Working Papers B 05-2002, ZEI - Center for European Integration Studies, University of Bonn.
  4. Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," Discussion Papers 10-07, University of Copenhagen. Department of Economics.
  5. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2009. "Co-integration Rank Testing under Conditional Heteroskedasticity," CREATES Research Papers 2009-22, School of Economics and Management, University of Aarhus.
  6. Li, Hongyi & Xiao, Zhijie, 2000. "On bootstrapping regressions with unit root processes," Statistics & Probability Letters, Elsevier, Elsevier, vol. 48(3), pages 261-267, July.
  7. H. Peter Boswijk & Jean-Pierre Urbain, 1997. "Lagrance-multiplier tersts for weak exogeneity: a synthesis," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 16(1), pages 21-38.
  8. Hubrich, Kirstin & Lütkepohl, Helmut & Saikkonen, Pentti, 1998. "A review of systemscointegration tests," SFB 373 Discussion Papers 1998,101, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  9. Hjelm, Göran, 2001. "The Dynamic Response of the Budget Balance to Tax, Spending and Output Shocks: Does Model Specification Matter?," Working Papers, Lund University, Department of Economics 2001:2, Lund University, Department of Economics.
  10. Jacobson, Tor & Larsson, Rolf, 1996. "Bartlett Corrections in Cointegration Testing," Working Paper Series in Economics and Finance 134, Stockholm School of Economics.
  11. Woo, Kai-Yin, 1999. "Cointegration analysis of the intensity of the ERM currencies under the European Monetary System," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 9(4), pages 393-405, November.
  12. Christian Kascha & Carsten Trenkler, 2009. "Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order," Working Paper, Norges Bank 2009/12, Norges Bank.
  13. Brada, Josef C. & Kutan, Ali M. & Zhou, Su, 2005. "Real and monetary convergence between the European Union's core and recent member countries: A rolling cointegration approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(1), pages 249-270, January.
  14. Harris, R. I. D. & Judge, G., 1998. "Small sample testing for cointegration using the bootstrap approach," Economics Letters, Elsevier, Elsevier, vol. 58(1), pages 31-37, January.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bla:obuest:v:58:y:1996:i:2:p:391-408. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing) or (Christopher F. Baum).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.