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Small sample testing for cointegration using the bootstrap approach

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References

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1987Forecasting and testing in co-integrated systems1,896 cited
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1993FINITE‐SAMPLE SIZES OF JOHANSEN's LIKELIHOOD RATIO TESTS FOR COINTEGRATION1,206 cited
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2002Permanent and Transitory Driving Forces in the Asian‐Pacific Stock Markets71 cited
1996BOOTSTRAPPING THE TRACE STATISTIC IN VAR MODELS: MONTE CARLO RESULTS AND APPLICATIONS43 cited
2007Determining p-values for systems cointegration tests with a prior adjustment for deterministic terms29 cited
1992Small Sample Testing For Unit Roots†29 cited
2009BOOTSTRAPPING SYSTEMS COINTEGRATION TESTS WITH A PRIOR ADJUSTMENT FOR DETERMINISTIC TERMS26 cited

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2009Co-Integration Rank Testing under Conditional Heteroskedasticity26 cited

2008Bootstrap and fast double bootstrap tests of cointegration rank with financial time series25 cited

1998A Review of systemscointegration tests23 cited

2001Booststrapped johansen tests for cointegration relationships: a graphical analysis20 cited

2010IV threshold cointegration tests and the Taylor rule15 cited

2013Cointegration tests of purchasing power parity14 cited

2015Bootstrap tests for time varying cointegration13 cited