 Residual-based block bootstrap for cointegration testingRosa Badillo, Jorge Belaire-Franch and Carmelo Reverte Applied Economics Letters, 2010, vol. 17, issue 10, 999-1003 Abstract: We propose a new testing procedure to determine the rank of cointegration. This new method is based on the nonparametric resampling procedure, so-called Residual-Based Block Bootstrap (RBB), which is developed by Paparoditis and Politis (2003) in the context of unit root testing. Through Monte Carlo experiments we show that, in small samples, the RBB cointegration test has good power properties in relation to the other two well-known tests for cointegration, such as the Augmented Dickey-Fuller (ADF), applied to the residual of a cointegrating regression, and the Johansen's maximum eigenvalue tests. Likewise, this article looks at the influence played by the correlation of the 'X' variables with the errors of the cointegrating regression on the size and power properties of the above cointegration tests. In particular, we show that, when this correlation decreases, the RBB test for cointegration is the most powerful one. Date: 2010 Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:17:y:2010:i:10:p:999-1003 Ordering information: This journal article can be ordered from DOI: 10.1080/13504850802616468 Access Statistics for this article Applied Economics Letters is currently edited by Anita Phillips More articles in Applied Economics Letters from Taylor & Francis Journals |
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