Bootstrap test for seasonal cointegrating ranks

Byeongchan Seong

Applied Economics Letters, 2013, vol. 20, issue 2, 147-151

Abstract: We consider a bootstrap algorithm for the Likelihood Ratio (LR) test of seasonal Cointegrating (CI) ranks as the extension of Swensen (2006). Through a small Monte Carlo simulation experiment, we find that the bootstrap algorithm can effectively improve size distortions of the LR test.

Date: 2013
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DOI: 10.1080/13504851.2012.684785

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