BOOTSTRAPPING THE TRACE STATISTIC IN VAR MODELS: MONTE CARLO RESULTS AND APPLICATIONS

Noud P.A. van Giersbergen

43 citations0/0 files storedOxford Bulletin of Economics and Statistics

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Monetary Policy and Economic Impact Statistical Methods and Inference Advanced Statistical Methods and Models

Abstract

ABSTRACT This paper investigates through Monte Carlo experiments both size and power properties of a bootstrapped trace statistic in two prototypical DGPs. The Monte Carlo results indicate that the ordinary bootstrap has similar size and power properties as inference procedures based on asymptotic critical values. Considering empirical size, the stationary bootstrap is found to provide a uniform improvement over the ordinary bootstrap if the dynamics is underspecified. The use of the stationary bootstrap as a diagnostic tool is suggested. In two illustrative examples this seems to work, and again it appears that the bootstrap incorporates the finite‐sample correction required for the asymptotic critical values to apply.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 43 citations exist upstream.

References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 1981Some properties of time series data and their use in econometric model specification 1988Tests For Unit Roots: A Monte Carlo Investigation 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION 1989Tests for Unit Roots: A Monte Carlo Investigation

Cited by

2002Testing for cointegration between international stock prices 2007Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms 2009BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS 2008Bootstrap and fast double bootstrap tests of cointegration rank with financial time series 2006The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

Imported from OpenAlex (CC0) — nothing here is generated.