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Small sample testing for cointegration using the bootstrap approach

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Small sample testing for cointegration using the bootstrap approach. / Harris, R.; Judge, Guy.

In: Economics Letters, Vol. 58, No. 1, 01.1998, p. 31-37.

Research output: Contribution to journalArticlepeer-review

Harvard

Harris, R & Judge, G 1998, 'Small sample testing for cointegration using the bootstrap approach', Economics Letters, vol. 58, no. 1, pp. 31-37. https://doi.org/10.1016/S0165-1765(97)00275-9

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Harris, R. ; Judge, Guy. / Small sample testing for cointegration using the bootstrap approach. In: Economics Letters. 1998 ; Vol. 58, No. 1. pp. 31-37.

Bibtex

@article{93062b7ffa0747ffb48446acc6a3b797,
title = "Small sample testing for cointegration using the bootstrap approach",
abstract = "Recently, a number of authors have proposed using the bootstrap procedure for small sample testing procedure for unit roots and cointegration, based on bootstrapping the augmented (multivariate) Dickey–Fuller test. The present paper considers bootstrapping the Johansen test for an (unknown) number of cointegration relationships. This in effect amounts to undertaking the same type of Monte Carlo work that generated the Johansen tables of critical values, but for the purposes of calculating critical values relevant to a particular data set (based on unknown d.g.p.'s). However, our results suggest that the bootstrap test statistic has poor size properties.",
author = "R. Harris and Guy Judge",
year = "1998",
month = jan,
doi = "10.1016/S0165-1765(97)00275-9",
language = "English",
volume = "58",
pages = "31--37",
journal = "Economics Letters",
issn = "0165-1765",
publisher = "Elsevier",
number = "1",

}

RIS

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T1 - Small sample testing for cointegration using the bootstrap approach

AU - Harris, R.

AU - Judge, Guy

PY - 1998/1

Y1 - 1998/1

N2 - Recently, a number of authors have proposed using the bootstrap procedure for small sample testing procedure for unit roots and cointegration, based on bootstrapping the augmented (multivariate) Dickey–Fuller test. The present paper considers bootstrapping the Johansen test for an (unknown) number of cointegration relationships. This in effect amounts to undertaking the same type of Monte Carlo work that generated the Johansen tables of critical values, but for the purposes of calculating critical values relevant to a particular data set (based on unknown d.g.p.'s). However, our results suggest that the bootstrap test statistic has poor size properties.

AB - Recently, a number of authors have proposed using the bootstrap procedure for small sample testing procedure for unit roots and cointegration, based on bootstrapping the augmented (multivariate) Dickey–Fuller test. The present paper considers bootstrapping the Johansen test for an (unknown) number of cointegration relationships. This in effect amounts to undertaking the same type of Monte Carlo work that generated the Johansen tables of critical values, but for the purposes of calculating critical values relevant to a particular data set (based on unknown d.g.p.'s). However, our results suggest that the bootstrap test statistic has poor size properties.

U2 - 10.1016/S0165-1765(97)00275-9

DO - 10.1016/S0165-1765(97)00275-9

M3 - Article

VL - 58

SP - 31

EP - 37

JO - Economics Letters

JF - Economics Letters

SN - 0165-1765

IS - 1

ER -

ID: 131824