Bootstrap Inference in Cointegrating Regressions
Traditional and Self-Normalized Test Statistics
Bibliographic Data
| ID | 19418756 |
|---|---|
| Authors | Karsten Reichold (0000-0001-5980-356X, TU Wien, corresponding author), Carsten Jentsch (0000-0001-7824-1697, TU Dortmund University) |
| Year | 2024 |
| Volume | 42 |
| Issue | 3 |
| Pages | 970-983 |
| Publication date | 2024-07-02 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Journal of Business and Economic Statistics (JOURNAL) |
| Journal identifiers | ISSN: 0735-0015 • E-ISSN: 1537-2707 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/07350015.2023.2271538 |
| OpenAlex | W4387736495 |
| Language | EN |
| References cited | 59 |
Traditional tests of hypotheses on the cointegrating vector are well known to suffer from severe size distortions in finite samples, especially when the data are characterized by large levels of endogeneity or error serial correlation.To address this issue, we combine a vector autoregressive (VAR) sieve bootstrap to construct critical values with a self-normalization approach that avoids direct estimation of long-run variance parameters when computing test statistics.To asymptotically justify this method, we prove bootstrap consistency for the self-normalized test statistics under mild conditions.In addition, the underlying bootstrap invariance principle allows us to prove bootstrap consistency also for traditional test statistics based on popular modified OLS estimators.Simulation results show that using bootstrap critical values instead of asymptotic critical values reduces size distortions associated with traditional test statistics considerably, but combining the VAR sieve bootstrap with self-normalization can lead to even less size distorted tests at the cost of only small power losses.We illustrate the usefulness of the VAR sieve bootstrap in empirical applications by analyzing the validity of the Fisher effect in 19 OECD countries
Autocorrelation · Autoregressive model · Cointegration · Econometrics · Estimator · Statistical hypothesis testing · Statistics · Wald test · Complex Systems and Time Series Analysis · Economic Policies and Impacts · Mathematics · Monetary Policy and Economic Impact
Structural Vector Autoregressive Analysis
Likelihood-Based Inference in Cointegrated Vector Autoregressive Models
Statistical Inference in Instrumental Variables Regression with I(1) Processes
Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
Asymptotically Efficient Estimation of Cointegration Regressions
Panel cointegration tests of the Fisher effect
A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
Generalized autoregressive conditional heteroskedasticity
Efficient Tests for an Autoregressive Unit Root
Testing the null hypothesis of stationarity against the alternative of a unit root
Low Frequency Cointegrating Regression with Local to Unity Regressors and Unknown Form of Serial Dependence
Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation
| Citation velocity | historical |
|---|---|
| Highly cited | No |