Abstract
Bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of co-integration rank tests are investigated. The procedure constructs estimates of the bias in the original parameter estimates by using the average bias in the corresponding parameter estimates taken across a large number of auxiliary bootstrap replications. A number of possible implementations of this procedure are discussed and concrete recommendations made on the basis of finite sample performance evaluated by Monte Carlo simulation methods. The results show that bootstrap-based bias-correction methods can significantly improve the small sample performance of the bootstrap co-integration rank tests.
| Original language | English |
|---|---|
| Pages (from-to) | 740-759 |
| Number of pages | 20 |
| Journal | Oxford Bulletin of Economics and Statistics |
| Volume | 77 |
| Issue number | 5 |
| DOIs | |
| Publication status | Published - 1 Oct 2015 |
Bibliographical note
Publisher Copyright:© 2015 The Department of Economics, University of Oxford and John Wiley & Sons Ltd.
ASJC Scopus subject areas
- Statistics and Probability
- Social Sciences (miscellaneous)
- Economics and Econometrics
- Statistics, Probability and Uncertainty
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