期刊
JOURNAL OF BUSINESS & ECONOMIC STATISTICS
卷 -, 期 -, 页码 -出版社
TAYLOR & FRANCIS INC
DOI: 10.1080/07350015.2023.2271538
关键词
Bootstrap consistency; Cointegration; Self-normalization; Sieve bootstrap; Size distortions; Tuning parameters
In this study, the authors propose a method that combines the VAR sieve bootstrap and self-normalization to address the issue of size distortions in traditional tests of hypotheses on the cointegrating vector. Simulation and empirical results demonstrate that using bootstrap critical values reduces size distortions associated with traditional test statistics, and combining the VAR sieve bootstrap with self-normalization leads to even less size distorted tests.
Traditional tests of hypotheses on the cointegrating vector are well known to suffer from severe size distortions in finite samples, especially when the data are characterized by large levels of endogeneity or error serial correlation. To address this issue, we combine a vector autoregressive (VAR) sieve bootstrap to construct critical values with a self-normalization approach that avoids direct estimation of long-run variance parameters when computing test statistics. To asymptotically justify this method, we prove bootstrap consistency for the self-normalized test statistics under mild conditions. In addition, the underlying bootstrap invariance principle allows us to prove bootstrap consistency also for traditional test statistics based on popular modified OLS estimators. Simulation results show that using bootstrap critical values instead of asymptotic critical values reduces size distortions associated with traditional test statistics considerably, but combining the VAR sieve bootstrap with self-normalization can lead to even less size distorted tests at the cost of only small power losses. We illustrate the usefulness of the VAR sieve bootstrap in empirical applications by analyzing the validity of the Fisher effect in 19 OECD countries.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据