Wild bootstrap testing for cointegration in an ESTAR error correction model
Wild bootstrap testing for cointegration in an ESTAR error correction model
复制标题
ESTAR 纠错模型中协整的狂野引导测试
DOI：
10.1016/j.econmod.2015.03.007
复制
发表时间：
2015
影响因子：
4.7
通讯作者：
Daiki Maki
中科院分区：
文献类型：
--
作者：
Daiki Maki
本文提出了指数平滑过渡自回归（ESTAR）误差修正模型（ECM）中的自举协整检验。我们引入了t型检验，该检验具有无协整的零假设和ESTAR-ECM的备择假设，并使用野生自助法进行检验。Monte Carlo模拟结果表明，thet-type测试和传统的测试相当overreject零假设没有协整的存在多变量Gestival误差和多变量随机波动率，而建议的野生自助测试有正确的经验大小，与其他测试相比，和合理的权力下，与ESTAR-ECM协整。
This paper proposes a bootstrap cointegration test in an exponential smooth transition autoregressive (ESTAR) error correction model (ECM). We introduce thet-type test that has a null hypothesis of no cointegration and an alternative hypothesis of the ESTAR-ECM and develop the test using a wild bootstrap. Monte Carlo simulation results show that thet-type test and conventional tests considerably overreject the null hypothesis of no cointegration in the presence of multivariate GARCH errors and multivariate stochastic volatility, whereas the proposed wild bootstrap test has correct empirical sizes, in contrast to other tests, and reasonable powers under cointegration with the ESTAR-ECM.