Bootstrap Cointegration Rank Testing: The Role of Deterministic Variables and Initial Values in the Bootstrap Recursion
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DOI: 10.1080/07474938.2012.690677
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- 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.
References listed on IDEAS
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Cited by:
- Hutter, Christian & Klinger, Sabine & Trenkler, Carsten & Weber, Enzo, 2019. "Which factors are behind Germany's labour market upswing?," IAB-Discussion Paper 201920, Institut für Arbeitsmarkt- und Berufsforschung (IAB), Nürnberg [Institute for Employment Research, Nuremberg, Germany].
- Guillaume Chevillon, 2017.
"Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming,"
Econometric Reviews, Taylor & Francis Journals, vol. 36(5), pages 514-545, May.
- Guillaume Chevillon, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," Working Papers hal-00914830, HAL.
- Chevillon, Guillaume, 2013. "Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming," ESSEC Working Papers WP1320, ESSEC Research Center, ESSEC Business School.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Anders Rahbek & A. M. Robert Taylor, 2015.
"Recent developments in bootstrap methods for dependent data,"
Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 272-289, May.
- Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek & Giuseppe Cavaliere & Dimitris N. Politis & Anders Rahbek, 2015. "Recent developments in bootstrap methods for dependent data," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(3), pages 269-271, May.
- Giuseppe Cavaliere & A. M. Robert Taylor & Carsten Trenkler, 2015.
"Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 77(5), pages 740-759, October.
- Cavaliere, Giuseppe & Taylor, A. M. Robert & Trenkler, Carsten, 2013. "Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates," Working Papers 32993, University of Mannheim, Department of Economics.
- repec:hal:journl:hal-00914830 is not listed on IDEAS
- Cavaliere, Giuseppe & Rahbek, Anders & Taylor, Robert, 2010. "Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 28, pages 519-552, Diciembre.
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