Testing for Second-Order LSTR Cointegration – Some Simulation and Empirical Results

Joanna Bruzda

Chapter 2 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2009, vol. 7, pp 23-39 from University of Lodz

Abstract: Bruzda in Chapter 2 presents new bootstrap test of the lack of cointegration against stationary second-order logistic smooth transition autoregression process. She indicates good size properties and significant power gains of this test over the standard testing procedures.

Keywords: Second-order LSTR cointegration; Simulation; Bootstrap test; Non-linear processes (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2009
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