Chambers, Marcus (2015) A Jackknife Correction to a Test for Cointegration Rank. Econometrics, 3 (2). pp. 355-375. DOI https://doi.org/10.3390/econometrics3020355
Chambers, Marcus (2015) A Jackknife Correction to a Test for Cointegration Rank. Econometrics, 3 (2). pp. 355-375. DOI https://doi.org/10.3390/econometrics3020355
Chambers, Marcus (2015) A Jackknife Correction to a Test for Cointegration Rank. Econometrics, 3 (2). pp. 355-375. DOI https://doi.org/10.3390/econometrics3020355
Abstract
<jats:p>This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distributions are tabulated. Based on these critical values the finite sample size and power properties of the jackknife-corrected tests are compared with the usual rank test statistic as well as statistics involving a small sample correction and a Bartlett correction, in addition to a bootstrap method. The simulations reveal that all of the corrected tests can provide finite sample size improvements, while maintaining power, although the bootstrap procedure is the most robust across the simulation designs considered.</jats:p>
Item Type: | Article |
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Uncontrolled Keywords: | jackknife correction; bias reduction; cointegration rank test |
Subjects: | H Social Sciences > HA Statistics H Social Sciences > HB Economic Theory |
Divisions: | Faculty of Social Sciences Faculty of Social Sciences > Economics, Department of |
SWORD Depositor: | Unnamed user with email elements@essex.ac.uk |
Depositing User: | Unnamed user with email elements@essex.ac.uk |
Date Deposited: | 01 Oct 2016 14:00 |
Last Modified: | 01 Nov 2024 09:10 |
URI: | http://repository.essex.ac.uk/id/eprint/17686 |
Available files
Filename: Econometrics_2015.pdf
Licence: Creative Commons: Attribution 3.0