Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/17096
Author(s): | Martins, L. F. |
Date: | 2018 |
Title: | Bootstrap tests for time varying cointegration |
Volume: | 37 |
Number: | 5 |
Pages: | 466 - 483 |
ISSN: | 0747-4938 |
DOI (Digital Object Identifier): | 10.1080/07474938.2015.1092830 |
Keywords: | Bootstrap Likelihood ratio test Purchasing power parity hypothesis Time-varying cointegration |
Abstract: | This article proposes wild and the independent and identically distibuted (i.i.d.) parametric bootstrap implementations of the time-varying cointegration test of Bierens and Martins (2010). The bootstrap statistics and the original likelihood ratio test share the same first-order asymptotic null distribution. Monte Carlo results suggest that the bootstrap approximation to the finite-sample distribution is very accurate, in particular for the wild bootstrap case. The tests are applied to study the purchasing power parity hypothesis for twelve Organisation for Economic Cooperation and Development (OECD) countries and we only find evidence of a constant long-term equilibrium for the U.S.-U.K. relationship. |
Peerreviewed: | yes |
Access type: | Open Access |
Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
File | Description | Size | Format | |
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martins_tvcboot_rr2.pdf | Pós-print | 308,63 kB | Adobe PDF | View/Open |
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