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Applied Economics Letters Volume 20, 2013 - Issue 2
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Original Articles

Bootstrap test for seasonal cointegrating ranks

Byeongchan Seong Department of Applied Statistics, Chung-Ang University, 221, Heukseok-dong, Dongjak-gu, Seoul, 156-756, KoreaCorrespondence[email protected]
Pages 147-151 | Published online: 10 May 2012

References

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  • Cubadda , G. and Omtzigt , P. 2005 . Small-sample improvements in the statistical analysis of seasonally cointegrated systems . Computational Statistics and Data Analysis , 49 : 333 – 48 .
  • Davidson , R. and MacKinnon , J. G. 2000 . Bootstrap tests: How many bootstraps? . Econometric Reviews , 19 : 55 – 68 .
  • Davidson , R. and MacKinnon , J. G. 2007 . Improving the reliability of bootstrap tests with the fast double bootstrap . Computational Statistics & Data Analysis , 51 : 3259 – 81 .
  • Johansen , S. 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
  • Johansen , S. 2002 . A small sample correction for the test of cointegrating rank in the vector autoregressive model . Econometrica , 70 : 1929 – 61 .
  • Johansen , S. and Schaumburg , E. 1999 . Likelihood analysis of seasonal cointegration . Journal of Econometrics , 88 : 301 – 39 .
  • Lee , H. S. 1992 . Maximum likelihood inference on cointegration and seasonal cointegration . Journal of Econometrics , 54 : 1 – 47 .
  • Seong , B. 2009 . Bonferroni correction for seasonal cointegrating ranks . Economics Letters , 103 : 42 – 4 .
  • Seong , B. , Cho , S. and Ahn , S. K. 2006 . Maximum eigenvalue test for seasonal cointegrating ranks . Oxford Bulletin of Economics and Statistics , 68 : 497 – 514 .
  • Swensen , A. R. 2006 . Bootstrap algorithms for testing and determining the cointegration rank in VAR models . Econometrica , 74 : 1699 – 714 .

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