Bootstrap tests for time varying cointegration

Detalhes bibliográficos
Autor(a) principal: Martins, L. F.
Data de Publicação: 2018
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/17096
Resumo: 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.
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spelling Bootstrap tests for time varying cointegrationBootstrapLikelihood ratio testPurchasing power parity hypothesisTime-varying cointegrationThis 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.Taylor and Francis2019-01-18T17:12:13Z2018-01-01T00:00:00Z20182019-01-18T17:11:48Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/10071/17096eng0747-493810.1080/07474938.2015.1092830Martins, L. F.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T17:56:27Zoai:repositorio.iscte-iul.pt:10071/17096Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:28:57.275088Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Bootstrap tests for time varying cointegration
title Bootstrap tests for time varying cointegration
spellingShingle Bootstrap tests for time varying cointegration
Martins, L. F.
Bootstrap
Likelihood ratio test
Purchasing power parity hypothesis
Time-varying cointegration
title_short Bootstrap tests for time varying cointegration
title_full Bootstrap tests for time varying cointegration
title_fullStr Bootstrap tests for time varying cointegration
title_full_unstemmed Bootstrap tests for time varying cointegration
title_sort Bootstrap tests for time varying cointegration
author Martins, L. F.
author_facet Martins, L. F.
author_role author
dc.contributor.author.fl_str_mv Martins, L. F.
dc.subject.por.fl_str_mv Bootstrap
Likelihood ratio test
Purchasing power parity hypothesis
Time-varying cointegration
topic Bootstrap
Likelihood ratio test
Purchasing power parity hypothesis
Time-varying cointegration
description 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.
publishDate 2018
dc.date.none.fl_str_mv 2018-01-01T00:00:00Z
2018
2019-01-18T17:12:13Z
2019-01-18T17:11:48Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/17096
url http://hdl.handle.net/10071/17096
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 0747-4938
10.1080/07474938.2015.1092830
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv Taylor and Francis
publisher.none.fl_str_mv Taylor and Francis
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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