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Original Articles

Bootstrap test for seasonal cointegrating ranks

Pages 147-151 | Published online: 10 May 2012
 

Abstract

We consider a bootstrap algorithm for the Likelihood Ratio (LR) test of seasonal Cointegrating (CI) ranks as the extension of Swensen (Citation2006). Through a small Monte Carlo simulation experiment, we find that the bootstrap algorithm can effectively improve size distortions of the LR test.

JEL Classification:

Acknowledgement

This research was supported by Basic Science Research Program through the National Research Foundation of Korea (NRF) funded by the Ministry of Education, Science and Technology (grant number 2009-0071493).

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