Search Results - subject:"i.i.d. bootstrap"

Bootstrap Sequential Determination of the Co-integration Rank in VAR Models

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert - Økonomisk Institut, Københavns Universitet - 2010

Determining the co-integrating rank of a system of variables has become a fundamental aspect of applied research in macroeconomics and finance. It is wellknown that standard asymptotic likelihood ratio tests for co-integration rank of Johansen (1996) can be unreliable in small samples with...

Persistent link: https://www.econbiz.de/10005088281

Co-integration Rank Testing under Conditional Heteroskedasticity

Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2009

corresponding rank tests based on the i.i.d. bootstrap of Swensen (2006). The wild bootstrap, however, has the important property … that, unlike the i.i.d. bootstrap, it preserves in the re-sampled data the pattern of heteroskedasticity present in the … values or the i.i.d. bootstrap, the wild bootstrap rank tests perform very well in small samples under a variety of …

Persistent link: https://www.econbiz.de/10004991541

A bootstrap test for jumps in financial economics

Hwang, Eunju; Shin, Dong Wan - In: Economics Letters 125 (2014) 1, pp. 74-78

An i.i.d. bootstrap is applied for the ratio test of Barndorff-Nielsen and Shephard (2006) for jumps in jump diffusion …

Persistent link: https://www.econbiz.de/10011041571

A bootstrap test for jumps in financial economics

Hwang, Eunju; Shin, Dong-wan - In: Economics letters 125 (2014) 1, pp. 74-78

Persistent link: https://www.econbiz.de/10010504752

Bootstrap Sequential Determination of the Co-integration Rank in VAR Models

Cavaliere, Guiseppe; Rahbek, Anders; Taylor, A.M. Robert - School of Economics and Management, University of Aarhus - 2010

Persistent link: https://www.econbiz.de/10008599529

Bootstrap co-integration rank testing: the role of deterministic variables and initial values in the bootstrap recursion

Cavaliere, Giuseppe; Taylor, A. M. Robert; Trenkler, Carsten - Granger Centre for Time Series Econometrics, School of … - 2010

In this paper we investigate the role of deterministic components and initial values in bootstrap likelihood ratio type tests of co-integration rank. A number of bootstrap procedures have been proposed in the recent literature some of which include estimated deterministic components and non-zero...

Persistent link: https://www.econbiz.de/10008540445

Determination of the Number of Common Stochastic Trends Under Conditional Heteroskedasticity/Determinación del número de tendencias estocásticas comunes bajo heteroscedasticidad condicional

CAVALIERE, GIUSEPPE; RAHBEK, ANDERS; TAYLOR, ROBERT - In: Estudios de Economía Aplicada 28 (2010) Diciembre, pp. 519-552

business cycle frequencies strongly rely on the correct detection of the number of common stochastic trends (co-integration). Standard techniques for the determination of the number of common trends, such as the well-known sequential procedure proposed in Johansen (1996), are based on the...

Persistent link: https://www.econbiz.de/10008794507