Department of Economics and Business Economics

A Bootstrap Cointegration Rank Test for Panels of VAR Models

Research output: Working paperResearch

Standard

A Bootstrap Cointegration Rank Test for Panels of VAR Models. / Callot, Laurent.

Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

Research output: Working paperResearch

Harvard

Callot, L 2010 'A Bootstrap Cointegration Rank Test for Panels of VAR Models' Institut for Økonomi, Aarhus Universitet, Aarhus.

APA

Callot, L. (2010). A Bootstrap Cointegration Rank Test for Panels of VAR Models. Institut for Økonomi, Aarhus Universitet.

CBE

Callot L. 2010. A Bootstrap Cointegration Rank Test for Panels of VAR Models. Aarhus: Institut for Økonomi, Aarhus Universitet.

MLA

Callot, Laurent A Bootstrap Cointegration Rank Test for Panels of VAR Models. Aarhus: Institut for Økonomi, Aarhus Universitet. 2010., 25 p.

Vancouver

Callot L. A Bootstrap Cointegration Rank Test for Panels of VAR Models. Aarhus: Institut for Økonomi, Aarhus Universitet. 2010.

Author

Callot, Laurent. / A Bootstrap Cointegration Rank Test for Panels of VAR Models. Aarhus : Institut for Økonomi, Aarhus Universitet, 2010.

Bibtex

@techreport{25ba9f50fd5111dfa891000ea68e967b,
title = "A Bootstrap Cointegration Rank Test for Panels of VAR Models",
abstract = "This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties of these tests are documented by means of Monte Carlo. An empirical application illustrates the usefullness of this tests.",
keywords = "Rank test, Panel data, Cointegration, Bootstrap, Cross section dependence",
author = "Laurent Callot",
year = "2010",
language = "English",
publisher = "Institut for {\O}konomi, Aarhus Universitet",
type = "WorkingPaper",
institution = "Institut for {\O}konomi, Aarhus Universitet",

}

RIS

TY - UNPB

T1 - A Bootstrap Cointegration Rank Test for Panels of VAR Models

AU - Callot, Laurent

PY - 2010

Y1 - 2010

N2 - This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties of these tests are documented by means of Monte Carlo. An empirical application illustrates the usefullness of this tests.

AB - This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties of these tests are documented by means of Monte Carlo. An empirical application illustrates the usefullness of this tests.

KW - Rank test, Panel data, Cointegration, Bootstrap, Cross section dependence

M3 - Working paper

BT - A Bootstrap Cointegration Rank Test for Panels of VAR Models

PB - Institut for Økonomi, Aarhus Universitet

CY - Aarhus

ER -