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Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates

Cavaliere, G and Robert Taylor, AM and Trenkler, C (2015) 'Bootstrap Co-integration Rank Testing: The Effect of Bias-Correcting Parameter Estimates.' Oxford Bulletin of Economics and Statistics, 77 (5). 740 - 759. ISSN 0305-9049

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Abstract

© 2015 The Department of Economics, University of Oxford and John Wiley & Sons Ltd. Bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of co-integration rank tests are investigated. The procedure constructs estimates of the bias in the original parameter estimates by using the average bias in the corresponding parameter estimates taken across a large number of auxiliary bootstrap replications. A number of possible implementations of this procedure are discussed and concrete recommendations made on the basis of finite sample performance evaluated by Monte Carlo simulation methods. The results show that bootstrap-based bias-correction methods can significantly improve the small sample performance of the bootstrap co-integration rank tests.

Item Type: Article
Subjects: H Social Sciences > HA Statistics
H Social Sciences > HB Economic Theory
Divisions: Faculty of Social Sciences > Essex Business School
Faculty of Social Sciences > Essex Business School > Essex Finance Centre
Depositing User: Jim Jamieson
Date Deposited: 11 May 2015 10:39
Last Modified: 30 Jan 2019 16:19
URI: http://repository.essex.ac.uk/id/eprint/13684

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