کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5096420 1376527 2011 11 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات آمار و احتمال
پیش نمایش صفحه اول مقاله
A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables
چکیده انگلیسی
In this paper, a bootstrap algorithm for a reduced rank vector autoregressive (VAR) model which also includes stationary regressors, is analyzed. It is shown that the bootstrap distribution for estimating the rank converges to the distribution derived from the usual asymptotic framework. Because the asymptotic distribution will typically depend on unknown parameters, bootstrap distributions are of considerable interest in this context. The result of an application and some Monte Carlo experiments are also presented.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 165, Issue 2, December 2011, Pages 152-162
نویسندگان
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