Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses

This paper introduces bootstrap neural network pure significance tests for the no cointegration hypothesis against nonlinear cointegration alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken.

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Year of publication:	2003
Authors:	Kapetanios, George
Published in:	Studies in Nonlinear Dynamics & Econometrics. - Berkeley Electronic Press. - Vol. 7.2003, 2, p. 1099-1099
Publisher:	Berkeley Electronic Press
Subject:	Nonlinearity \| Nonstationarity \| Cointegration

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Extent:	application/pdf
Type of publication:	Article
Notes:	oai:bepress:
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005246315