BOOTSTRAPPING THE TRACE STATISTIC IN VAR MODELS: MONTE CARLO RESULTS AND APPLICATIONS

Author:

Giersbergen Noud P. A. van

Publisher

Wiley

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Social Sciences (miscellaneous),Statistics and Probability

Reference21 articles.

1. ‘Bootstrapping Unstable First Order Autoregressive Processes’;Basawa;The Annals of Statistics,1991a

2. ‘Bootstrap Test of Significance and Sequential Bootstrap Estimation for Unstable First Order Autoregressive Processes’;Basawa;Commun. Statist-Theory Meth.,1991b

3. ‘Dynamic Specification and Cointegration’;Boswijk;BULLETIN,1992

4. ‘Finite-Sample Sizes of Johansen's Likelihood Ratio Tests for Cointegration’;Cheung;BULLETIN,1993

5. ‘Bootstrap Methods: Another Look at the Jackknife’;Efron;The Annals of Statistics,1979

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