Matches in SemOpenAlex for { <https://semopenalex.org/work/W1504166180> ?p ?o ?g. }
Showing items 1 to 84 of
84
with 100 items per page.
- W1504166180 endingPage "1740" @default.
- W1504166180 startingPage "1721" @default.
- W1504166180 abstract "This paper discusses a consistent bootstrap implementation of the likelihood ratio [LR] co-integration rank test and associated sequential rank determination procedure of Johansen (1996). The bootstrap samples are constructed using the restricted parameter estimates of the underlying VAR model which obtain under the reduced rank null hypothesis. A full asymptotic theory is provided which shows that, unlike the bootstrap procedure in Swensen (2006) where a combination of unrestricted and restricted estimates from the VAR model is used, the resulting bootstrap data are I(1) and satisfy the null co-integration rank, regardless of the true rank. This ensures that the bootstrap LR test is asymptotically correctly sized and that the probability that the bootstrap sequential procedure selects a rank smaller than the true rank converges to zero. Monte Carlo evidence suggests that our bootstrap procedures work very well in practice." @default.
- W1504166180 created "2016-06-24" @default.
- W1504166180 creator A5032349799 @default.
- W1504166180 creator A5068883981 @default.
- W1504166180 creator A5079539440 @default.
- W1504166180 date "2011-10-05" @default.
- W1504166180 modified "2023-10-16" @default.
- W1504166180 title "Bootstrap determination of the co-integration rank in VAR models" @default.
- W1504166180 cites W1987005168 @default.
- W1504166180 cites W2061179942 @default.
- W1504166180 cites W2117346248 @default.
- W1504166180 cites W2131733003 @default.
- W1504166180 cites W2132476080 @default.
- W1504166180 cites W2148655389 @default.
- W1504166180 doi "https://doi.org/10.6092/unibo/amsacta/3130" @default.
- W1504166180 hasPublicationYear "2011" @default.
- W1504166180 type Work @default.
- W1504166180 sameAs 1504166180 @default.
- W1504166180 citedByCount "0" @default.
- W1504166180 crossrefType "posted-content" @default.
- W1504166180 hasAuthorship W1504166180A5032349799 @default.
- W1504166180 hasAuthorship W1504166180A5068883981 @default.
- W1504166180 hasAuthorship W1504166180A5079539440 @default.
- W1504166180 hasConcept C105795698 @default.
- W1504166180 hasConcept C114614502 @default.
- W1504166180 hasConcept C138885662 @default.
- W1504166180 hasConcept C149782125 @default.
- W1504166180 hasConcept C164226766 @default.
- W1504166180 hasConcept C191988596 @default.
- W1504166180 hasConcept C19499675 @default.
- W1504166180 hasConcept C203763787 @default.
- W1504166180 hasConcept C2780813799 @default.
- W1504166180 hasConcept C28826006 @default.
- W1504166180 hasConcept C33923547 @default.
- W1504166180 hasConcept C41008148 @default.
- W1504166180 hasConcept C41895202 @default.
- W1504166180 hasConcept C77088390 @default.
- W1504166180 hasConcept C9483764 @default.
- W1504166180 hasConceptScore W1504166180C105795698 @default.
- W1504166180 hasConceptScore W1504166180C114614502 @default.
- W1504166180 hasConceptScore W1504166180C138885662 @default.
- W1504166180 hasConceptScore W1504166180C149782125 @default.
- W1504166180 hasConceptScore W1504166180C164226766 @default.
- W1504166180 hasConceptScore W1504166180C191988596 @default.
- W1504166180 hasConceptScore W1504166180C19499675 @default.
- W1504166180 hasConceptScore W1504166180C203763787 @default.
- W1504166180 hasConceptScore W1504166180C2780813799 @default.
- W1504166180 hasConceptScore W1504166180C28826006 @default.
- W1504166180 hasConceptScore W1504166180C33923547 @default.
- W1504166180 hasConceptScore W1504166180C41008148 @default.
- W1504166180 hasConceptScore W1504166180C41895202 @default.
- W1504166180 hasConceptScore W1504166180C77088390 @default.
- W1504166180 hasConceptScore W1504166180C9483764 @default.
- W1504166180 hasIssue "4" @default.
- W1504166180 hasLocation W15041661801 @default.
- W1504166180 hasOpenAccess W1504166180 @default.
- W1504166180 hasPrimaryLocation W15041661801 @default.
- W1504166180 hasRelatedWork W1965409179 @default.
- W1504166180 hasRelatedWork W2008286740 @default.
- W1504166180 hasRelatedWork W2015676145 @default.
- W1504166180 hasRelatedWork W2021894828 @default.
- W1504166180 hasRelatedWork W2045609516 @default.
- W1504166180 hasRelatedWork W2046767838 @default.
- W1504166180 hasRelatedWork W2054012844 @default.
- W1504166180 hasRelatedWork W2055260494 @default.
- W1504166180 hasRelatedWork W2056772997 @default.
- W1504166180 hasRelatedWork W2087457629 @default.
- W1504166180 hasRelatedWork W2093272448 @default.
- W1504166180 hasRelatedWork W2093317065 @default.
- W1504166180 hasRelatedWork W2119354745 @default.
- W1504166180 hasRelatedWork W2160933524 @default.
- W1504166180 hasRelatedWork W2182580588 @default.
- W1504166180 hasRelatedWork W2343947666 @default.
- W1504166180 hasRelatedWork W2353371674 @default.
- W1504166180 hasRelatedWork W3101813170 @default.
- W1504166180 hasRelatedWork W3188439372 @default.
- W1504166180 hasRelatedWork W1888368239 @default.
- W1504166180 hasVolume "80" @default.
- W1504166180 isParatext "false" @default.
- W1504166180 isRetracted "false" @default.
- W1504166180 magId "1504166180" @default.
- W1504166180 workType "article" @default.