Bootstrapping and Bartlett corrections in the cointegrated VAR model
AbstractThe small sample properties of tests on long-run coefficients in cointegrated systems are still a matter of concern to applied econometricians. We compare the performance of the Bartlett correction, the bootstrap and the fast double bootstrap for tests on cointegration parameters in the maximum likelihood framework. We show by means of a theorical result and simulations that all three procedures should be based on the unrestricted estimate of the cointegration vectors. The fast double bootstrap delivers superior size correction, whereas the Bartlett correction leads to the least loss of power. However all three perform much better than the asymptotic tests and difference between them are small.
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Bibliographic InfoPaper provided by Department of Economics, University of Insubria in its series Economics and Quantitative Methods with number qf0212.
Length: 25 pages
Date of creation: Oct 2002
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This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-05-15 (All new papers)
- NEP-CMP-2003-05-15 (Computational Economics)
- NEP-ECM-2003-05-16 (Econometrics)
- NEP-ETS-2003-05-15 (Econometric Time Series)
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