Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
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- Arranz, Miguel A. & Escribano, Álvaro, 1998. "Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test," DES - Working Papers. Statistics and Econometrics. WS 4552, Universidad Carlos III de Madrid. Departamento de Estadística.
References listed on IDEAS
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- Campos, Julia & Ericsson, Neil R. & Hendry, David F., 1996.
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- Mantalos, Panagiotis & Shukur, Ghazi, 1998. "Size and Power of the Error Correction Model Cointegration Test. A Bootstrap Approach," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 60(2), pages 249-255, May.
- Eric Zivot, 1996. "The Power of Single Equation Tests for Cointegration when the Cointegrating Vector is Prespecified," Econometrics 9612001, EconWPA.
- Arranz, Miguel A & Escribano, Alvaro, 2000. " Cointegration Testing under Structural Breaks: A Robust Extended Error Correction Model," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 62(1), pages 23-52, February.
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More about this item
KeywordsBootstrap; structural breaks; cointegration testing; extended error correction model; co-breaks; 62M10; 91B84; 62F40; 82C80; 62F03; 62P20;
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