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Please use this identifier to cite or link to this item:
http://hdl.handle.net/10016/4552
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| ws981609.pdf | -- 2009-06-30 -- Available on Internet -- preprint | 705,89 kB | Adobe PDF | |  |
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| Title: | Bootstraping cointegration tests under structural co-breaks: a robust extended ECM test |
| Author(s): | Arranz, Miguel A.
Escribano, Álvaro [alvaroe] |
| Publisher: | Universidad Carlos III de Madrid. Departamento de Estadística |
| Issued date: | 25-Jul-1998 |
| URI: | http://hdl.handle.net/10016/4552 |
| Abstract: | The aim of the paper is the analysis of ECM bootstrap cointegration tests under structural breaks. Classical ECM tests depend on sorne 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 cobreaking situations. ECM test statistics are made robust to partial cobreaking by using extended error correction models or by imposing a common factor restriction. |
| Serie / Nº.: | UC3M Working Papers. Statistics and Econometrics
1998-16-09 |
| Keywords: | Bootstrap
Structural breaks
Cointegration testing
Extended error correction model
Cobreaks |
| Appears in Collections: | DES - Working Papers. Statistics and Econometrics. WS
Economists Online
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