Artikel
A jackknife correction to a test for cointegration rank
This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distributions are tabulated. Based on these critical values the finite sample size and power properties of the jackknife-corrected tests are compared with the usual rank test statistic as well as statistics involving a small sample correction and a Bartlett correction, in addition to a bootstrap method. The simulations reveal that all of the corrected tests can provide finite sample size improvements, while maintaining power, although the bootstrap procedure is the most robust across the simulation designs considered.
- Sprache
-
Englisch
- Erschienen in
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Journal: Econometrics ; ISSN: 2225-1146 ; Volume: 3 ; Year: 2015 ; Issue: 2 ; Pages: 355-375 ; Basel: MDPI
- Klassifikation
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Wirtschaft
Hypothesis Testing: General
Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- Thema
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jackknife correction
bias reduction
cointegration rank test
- Ereignis
-
Geistige Schöpfung
- (wer)
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Chambers, Marcus J.
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2015
- DOI
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doi:10.3390/econometrics3020355
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Artikel
Beteiligte
- Chambers, Marcus J.
- MDPI
Entstanden
- 2015
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