Autori
Fachin, Stefano
Omtzigt, Pieter

Titolo
Bootstrapping and Bartlett corrections in the cointegrated VAR model
Periodico
Università degli Studi dell'Insubria. Dipartimento di Economia. Quaderni di ricerca
Anno: 2002 - Fascicolo: 24 - Pagina iniziale: 1 - Pagina finale: 23

The small sample properties of tests on long-run coefficients in cointegrated systems are still a matter of concern to applied econometricians. We compare the performance of the Bartlett correction, the bootstrap and the fast double bootstrap for tests on ccointegration parameters in the maximum likelihood framework. We show by means of a theoretical result and simulations that all three procedures should be based on the unrestricted estimate of the cointegration vectors. The fast double bootstrap delivers superior size correction, whereas the Bartlett correction leads to the least loss of power. However all three perform much better than the asymptotic tests and difference between them are small.



Testo completo: http://eco.uninsubria.it/dipeco/quaderni/files/QF2002_24.pdf

Esportazione dati in Refworks (solo per utenti abilitati)