کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9555392 | 1376611 | 2005 | 29 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bootstrap inference in systems of single equation error correction models
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کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
آمار و احتمال
پیش نمایش صفحه اول مقاله
چکیده انگلیسی
We analyze OLS-based tests of long-run relationships, weak exogeneity and short-run dynamics in conditional error correction models. Unweighted sums of single equation test statistics are used for hypothesis testing in pooled systems. When model errors are (conditionally) heteroskedastic tests of weak exogeneity and short run dynamics are affected by nuisance parameters. Similarly, on the pooled level the advocated test statistics are no longer pivotal in presence of cross-sectional error correlation. We prove that the wild bootstrap provides asymptotically valid critical values under both conditional heteroskedasticity and cross-sectional error correlation. A Monte-Carlo study reveals that in small samples the bootstrap outperforms first-order asymptotic approximations in terms of the empirical size even if the asymptotic distribution of the test statistic does not depend on nuisance parameters. Opposite to feasible GLS methods the approach does not require any estimate of cross-sectional correlation and copes with time-varying patterns of contemporaneous error correlation.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Econometrics - Volume 128, Issue 1, September 2005, Pages 165-193
Journal: Journal of Econometrics - Volume 128, Issue 1, September 2005, Pages 165-193
نویسندگان
Helmut Herwartz, Michael H. Neumann,