The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series

Show simple item record

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
dc.contributor.author Ahlgren, Niklas
dc.contributor.author Antell, Jan
dc.date.accessioned 2009-06-11T07:26:08Z fi
dc.date.accessioned 2011-03-02T14:06:41Z
dc.date.available 2009-06-11T07:26:08Z fi
dc.date.available 2011-03-02T14:06:41Z
dc.date.issued 2009-06-11
dc.identifier.isbn 978-952-232-039-1
dc.identifier.issn 0357-4598
dc.identifier.uri http://hdl.handle.net/10227/371
dc.identifier.uri URN:ISBN:978-952-232-039-1
dc.description.abstract Bootstrap likelihood ratio tests of cointegration rank are commonly used because they tend to have rejection probabilities that are closer to the nominal level than the rejection probabilities of the correspond- ing asymptotic tests. The e¤ect of bootstrapping the test on its power is largely unknown. We show that a new computationally inexpensive procedure can be applied to the estimation of the power function of the bootstrap test of cointegration rank. The bootstrap test is found to have a power function close to that of the level-adjusted asymp- totic test. The bootstrap test estimates the level-adjusted power of the asymptotic test highly accurately. The bootstrap test may have low power to reject the null hypothesis of cointegration rank zero, or underestimate the cointegration rank. An empirical application to Euribor interest rates is provided as an illustration of the findings. fi
dc.language.iso en
dc.publisher Svenska handelshögskolan sv
dc.publisher Hanken School of Economics en
dc.relation.ispartofseries Working Papers
dc.relation.ispartofseries 541
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 likelihood ratio test fi
dc.subject testpower fi
dc.subject bootstrap fi
dc.subject.other Statistics fi
dc.title The Power of Bootstrap Tests of Cointegration Rank with Financial Time Series fi

Files in this item

Files Size Format View/Open
541-978-952-232-039-1.pdf 624.1Kb PDF View/Open
This item appears in the following Collection(s)

Show simple item record

Search Helda


Advanced Search

Browse

My Account