Nonparametric test for cointegration rank using Cholesky factor bootstrap
نویسندگان
چکیده
منابع مشابه
A Bootstrap Test of Cointegration Rank
This paper suggests a bootstrap testing procedure for determining the rank of cointegrated systems. The properties of the new testing procedure are investigated using Monte Carlo techniques. The performance of the test compares favourably to that of the widely used procedures for determining cointegration rank proposed by Johansen (1988). JEL classi cation: C12; C15; C32.
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ژورنال
عنوان ژورنال: Communications for Statistical Applications and Methods
سال: 2016
ISSN: 2383-4757
DOI: 10.5351/csam.2016.23.6.587