Bootstrapping the Error Correction Model Cointegration Test

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dc.contributor Svenska handelshögskolan, institutionen för finansiell ekonomi och ekonomisk statistik, statistik sv
dc.contributor Hanken School of Economics, Department of Finance and Statistics, Statistics en Ahlgren, Niklas 2011-03-02T14:04:44Z 2011-03-02T14:04:44Z 2000
dc.identifier.isbn 951-555-647-3
dc.identifier.issn 0357-4598
dc.identifier.uri URN:ISBN:951-555-647-3
dc.description.abstract This paper is concerned with using the bootstrap to obtain improved critical values for the error correction model (ECM) cointegration test in dynamic models. In the paper we investigate the effects of dynamic specification on the size and power of the ECM cointegration test with bootstrap critical values. The results from a Monte Carlo study show that the size of the bootstrap ECM cointegration test is close to the nominal significance level. We find that overspecification of the lag length results in a loss of power. Underspecification of the lag length results in size distortion. The performance of the bootstrap ECM cointegration test deteriorates if the correct lag length is not used in the ECM. The bootstrap ECM cointegration test is therefore not robust to model misspecification. fi
dc.format.extent 1837 bytes
dc.format.extent 562120 bytes
dc.format.mimetype application/pdf
dc.format.mimetype text/plain
dc.language.iso en
dc.publisher Svenska handelshögskolan sv
dc.publisher Hanken School of Economics en
dc.relation.ispartofseries Working Papers
dc.relation.ispartofseries 428
dc.rights Publikationen är skyddad av upphovsrätten. Den får läsas och skrivas ut för personligt bruk. Användning i kommersiellt syfte är förbjuden. sv
dc.rights This publication is copyrighted. You may download, display and print it for Your own personal use. Commercial use is prohibited. en
dc.rights Julkaisu on tekijänoikeussäännösten alainen. Teosta voi lukea ja tulostaa henkilökohtaista käyttöä varten. Käyttö kaupallisiin tarkoituksiin on kielletty. fi
dc.subject cointegration fi
dc.subject error correction model fi
dc.subject bootstrap fi
dc.subject.other Statistics fi
dc.title Bootstrapping the Error Correction Model Cointegration Test fi
dc.type.dcmitype Text

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