Bootstrap Determination of the Co-Integration Rank in Vector Autoregressive Models
成果类型：
Article
署名作者：
Cavaliere, Giuseppe; Rahbek, Anders; Taylor, A. M. Robert
署名单位：
University of Bologna; University of Copenhagen; University of Nottingham
刊物名称：
ECONOMETRICA
ISSN/ISSBN：
0012-9682
DOI：
10.3982/ECTA9099
发表日期：
2012
页码：
1721-1740
关键词：
摘要：
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 vector autoregressive (VAR) model that obtain under the reduced rank null hypothesis. A full asymptotic theory is provided that 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.
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