On (bootstrapped) cointegration tests in partial systems
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More about this item
Keywords
bootstrap; cointegration rank test; empirical size;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ECM-2019-11-18 (Econometrics)
- NEP-ETS-2019-11-18 (Econometric Time Series)
- NEP-MAC-2019-11-18 (Macroeconomics)
- NEP-ORE-2019-11-18 (Operations Research)
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