|
Archivo Abierto Institucional de la Universidad Carlos III de Madrid >
Investigación >
Departamentos >
Departamento de Economía >
DE - Artículos de Revistas >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/2579
|
| Title: | Bootstrapping Cointegration Tests Under Structural Co-Breaks: A Robust Extended ECM test |
| Author(s): | Arranz, Miguel A.
Escribano, Álvaro [alvaroe] |
| Publisher: | Springer |
| Issued date: | 2006 |
| Citation: | TEST, 2006, vol. 15, nº 1, p. 179-208 |
| URI: | http://hdl.handle.net/10016/2579 |
| ISSN: | 1863-8260 |
| DOI: | 10.1007/BF02595424 |
| Abstract: | The aim of the paper is the analysis of ECM (Error Correction Model) bootstrap cointegration tests under structural breaks. Classical ECM tests depend on some nuisance parameters, which is an undesirable feature for empirical applications. This problem is overcome by using the bootstrap ECM test, which shows good size and power properties when there are no breaks. In this paper we study the small sample properties of alternative bootstrap ECM tests under different co-breaking situations. ECM test statistics are made robust to partial co-breaking by using extended error correction models or by imposing a common factor restriction. |
| Review: | PeerReviewed |
| Keywords: | Bootstrap
structural breaks
cointegration testing
extended error correction model - co-breaks
62M10
91B84
62F40
82C80
62F03
62P20 |
| Appears in Collections: | DE - Artículos de Revistas
Economists Online
|
Items in E-Archivo are protected by copyright, with all rights reserved, unless otherwise indicated.
|
