Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap

	Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
	Yang, Zheng 1; Tian, Zheng 1,2; Yuan, Zixia 1
刊名	MATHEMATICS AND COMPUTERS IN SIMULATION
	2008-08-01
卷号	78 期号:4 页码:507-513
关键词	threshold cointegration residual-based moving block bootstrap Sup LM test Monte Carlo simulation
英文摘要	A residual-based moving block bootstrap procedure for testing the null hypothesis of linear cointegration versus cointegration with threshold effects is proposed. When the regressors and errors of the models are serially and contemporaneously correlated, our test compares favourably with the Sup LM test proposed by Gonzalo and Pitarakis. Indeed, shortcomings of the former motivated the development of our test. The small sample performance of the bootstrap test is investigated by Monte Carlo simulations, and the results show that the test performs better than the Sup LM test. (C) 2007 IMACS. Published by Elsevier B.V. All rights reserved.
WOS标题词	Science & Technology ; Technology ; Physical Sciences
类目[WOS]	Computer Science, Interdisciplinary Applications ; Computer Science, Software Engineering ; Mathematics, Applied
研究领域[WOS]	Computer Science ; Mathematics
关键词[WOS]	ERROR-CORRECTION MODELS ; NUISANCE PARAMETER ; HYPOTHESIS ; ADJUSTMENT ; JACKKNIFE ; NULL
收录类别	SCI ; SSCI
语种	英语
WOS记录号	WOS:000257366500003
公开日期	2015-12-24
内容类型	期刊论文
源URL	[http://ir.ia.ac.cn/handle/173211/9641]
专题	自动化研究所_09年以前成果
作者单位	1.NW Polytech Univ, Dept Appl Math, Xian 710072, Peoples R China 2.Chinese Acad Sci, Inst Automat, Natl Key Lab Pattern Recognit, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Yang, Zheng,Tian, Zheng,Yuan, Zixia. Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap[J]. MATHEMATICS AND COMPUTERS IN SIMULATION,2008,78(4):507-513.
APA	Yang, Zheng,Tian, Zheng,&Yuan, Zixia.(2008).Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap.MATHEMATICS AND COMPUTERS IN SIMULATION,78(4),507-513.
MLA	Yang, Zheng,et al."Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap".MATHEMATICS AND COMPUTERS IN SIMULATION 78.4(2008):507-513.