Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses

George Kapetanios

Studies in Nonlinear Dynamics & Econometrics, 2003, vol. 7, issue 2, 16

Abstract: This paper introduces bootstrap neural network pure significance tests for the no cointegration hypothesis against nonlinear cointegration alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken.

Date: 2003
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DOI: 10.2202/1558-3708.1099

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