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ArticleSmall sample testing for cointegration using the bootstrap approach

RICHARD I. D. HARRIS1998

Article1998

Small sample testing for cointegration using the bootstrap approach

RICHARD I. D. HARRIS · Guy Judge

46 citations·0/0 files stored·Economics Letters

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Monetary Policy and Economic Impact Financial Risk and Volatility Modeling Diverse Scientific and Economic Studies

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References

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 1987Forecasting and testing in co-integrated systems 1992Testing structural hypotheses in a multivariate cointegration analysis of the PPP and the UIP for UK 1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION 1995Using Cointegration Analysis in Econometric Modelling 1992Comparisons of tests for multivariate cointegration

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2002Permanent and Transitory Driving Forces in the Asian‐Pacific Stock Markets 1996BOOTSTRAPPING THE TRACE STATISTIC IN VAR MODELS: MONTE CARLO RESULTS AND APPLICATIONS 1992Small Sample Testing For Unit Roots†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

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Year1998

Typearticle

Published1998-01-01

VenueEconomics Letters

ISSN-L0165-1765

Languageen

Citations46

Files0 public / 0

ShelfMonetary Policy and Economic Impact

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doi10.1016/s0165-1765(97)00275-9

openalex_workW2064243263

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2009Co-Integration Rank Testing under Conditional Heteroskedasticity

2008Bootstrap and fast double bootstrap tests of cointegration rank with financial time series

1998A Review of systemscointegration tests