Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/129547
Authors: 
Cavaliere, Giuseppe
Taylor, A. M. Robert
Trenkler, Carsten
Year of Publication: 
2013
Series/Report no.: 
Working Paper Series, Department of Economics, University of Mannheim 13-06
Abstract: 
In this paper we investigate bootstrap-based methods for bias-correcting the first-stage parameter estimates used in some recently developed bootstrap implementations of the co-integration rank tests of Johansen (1996). In order to do so we adapt the framework of Kilian (1998) which estimates the bias in the original parameter estimates using the average bias in the corresponding parameter esti- mates 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. Our results show that bootstrap-based bias-correction methods can significantly improve upon the small sample performance of the bootstrap co-integration rank tests. A brief application of the techniques developed in this paper to international dynamic consumption risk sharing within Europe is also considered.
Subjects: 
Co-integration
trace test
bias-correction
bootstrap
JEL: 
C30
C32
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

Files in This Item:
File
Size
354.75 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.