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. - De Gruyter, ISSN 1558-3708, ZDB-ID 1385261-9. - Vol. 7.2003, 2
Publisher:	De Gruyter

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Type of publication:	Article
Type of publication (narrower categories):	research-article
Language:	English
Other identifiers:	10.2202/1558-3708.1099 [DOI]
Source:	Other ZBW resources

Persistent link: https://www.econbiz.de/10014620863