Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap

被引：3
|
作者：
Yang, Zheng [1 ]
Tian, Zheng [1 ,2 ]
Yuan, Zixia [1 ]
机构：
[1] NW Polytech Univ, Dept Appl Math, Xian 710072, Peoples R China
[2] Chinese Acad Sci, Inst Automat, Natl Key Lab Pattern Recognit, Beijing 100080, Peoples R China
来源：
MATHEMATICS AND COMPUTERS IN SIMULATION | 2008年 / 78卷 / 04期
关键词：
threshold cointegration; residual-based moving block bootstrap; Sup LM test; Monte Carlo simulation;
D O I：
10.1016/j.matcom.2007.06.005
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
A residual-based moving block bootstrap procedure for testing the null hypothesis of linear cointegration versus cointegration with threshold effects is proposed. When the regressors and errors of the models are serially and contemporaneously correlated, our test compares favourably with the Sup LM test proposed by Gonzalo and Pitarakis. Indeed, shortcomings of the former motivated the development of our test. The small sample performance of the bootstrap test is investigated by Monte Carlo simulations, and the results show that the test performs better than the Sup LM test. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved.
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页码：507 / 513
页数：7
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