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A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables

  • Swensen, Anders Rygh
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    In this paper, a bootstrap algorithm for a reduced rank vector autoregressive (VAR) model which also includes stationary regressors, is analyzed. It is shown that the bootstrap distribution for estimating the rank converges to the distribution derived from the usual asymptotic framework. Because the asymptotic distribution will typically depend on unknown parameters, bootstrap distributions are of considerable interest in this context. The result of an application and some Monte Carlo experiments are also presented.

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    File URL: http://www.sciencedirect.com/science/article/pii/S0304407611001436
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    Article provided by Elsevier in its journal Journal of Econometrics.

    Volume (Year): 165 (2011)
    Issue (Month): 2 ()
    Pages: 152-162

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    Handle: RePEc:eee:econom:v:165:y:2011:i:2:p:152-162
    DOI: 10.1016/j.jeconom.2011.07.002
    Contact details of provider: Web page: http://www.elsevier.com/locate/jeconom

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