Advanced Search
MyIDEAS: Login to save this paper or follow this series

Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates

Contents:

Author Info

  • Cavaliere, Giuseppe
  • Taylor, A. M. Robert
  • Trenkler, Carsten

Abstract

In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates the bias in the original parameter estimates using the average bias in the corresponding parameter esti- mates taken across a large number of auxiliary bootstrap replications. A number of possible implementations of this procedure are discussed and concrete recommendations made on the basis of finite sample performance evaluated by Monte Carlo simulation methods. Our results show that bootstrap-based bias-correction methods can significantly improve upon the small sample performance of the bootstrap co-integration rank tests. A brief application of the techniques developed in this paper to international dynamic consumption risk sharing within Europe is also considered.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: https://ub-madoc.bib.uni-mannheim.de/32993/1/Cavaliere_%26_Taylor_%26_Trenkler_13%2D06.pdf
Download Restriction: no

Bibliographic Info

Paper provided by University of Mannheim, Department of Economics in its series Working Papers with number 32993.

as in new window
Length:
Date of creation: 2013
Date of revision:
Handle: RePEc:mnh:wpaper:32993

Contact details of provider:
Postal: 68131 Mannheim
Phone: +49 621 181 1776
Fax: +49 621 181 1774
Email:
Web page: http://www2.vwl.uni-mannheim.de/10.1.html
More information through EDIRC

Related research

Keywords: Co-integration ; trace test ; bias-correction ; bootstrap;

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Giuseppe Cavaliere & Luca Fanelli & Attilio Gardini, 2008. "International dynamic risk sharing," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 23(1), pages 1-16.
  2. Giuseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2012. "Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models," CREATES Research Papers 2012-36, School of Economics and Management, University of Aarhus.
  3. Ling, Shiqing & McAleer, Michael, 2002. "Stationarity and the existence of moments of a family of GARCH processes," Journal of Econometrics, Elsevier, vol. 106(1), pages 109-117, January.
  4. Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2010. "Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion," Discussion Papers 10/04, University of Nottingham, Granger Centre for Time Series Econometrics.
  5. Guiseppe Cavaliere & Anders Rahbek & A.M.Robert Taylor, 2010. "Bootstrap Sequential Determination of the Co-integration Rank in VAR Models," CREATES Research Papers 2010-07, School of Economics and Management, University of Aarhus.
  6. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Cointegration Rank Testing Under Conditional Heteroskedasticity," Econometric Theory, Cambridge University Press, vol. 26(06), pages 1719-1760, December.
  7. Cavaliere, Giuseppe & Rahbek, Anders & Taylor, A.M. Robert, 2010. "Testing for co-integration in vector autoregressions with non-stationary volatility," Journal of Econometrics, Elsevier, vol. 158(1), pages 7-24, September.
  8. Anders Rygh Swensen, 2006. "Bootstrap Algorithms for Testing and Determining the Cointegration Rank in VAR Models -super-1," Econometrica, Econometric Society, vol. 74(6), pages 1699-1714, November.
  9. Giuseppe Cavaliere & Anders Rahbek & Taylor A.M.Robert, 2011. "Bootstrap determination of the co-integration rank in VAR models," Quaderni di Dipartimento 9, Department of Statistics, University of Bologna.
  10. Tom Engsted & Thomas Q. Pedersen, 2011. "Bias-correction in vector autoregressive models: A simulation study," CREATES Research Papers 2011-18, School of Economics and Management, University of Aarhus.
Full references (including those not matched with items on IDEAS)

Citations

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:mnh:wpaper:32993. 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: (Katharina Rautenberg).

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.