| dc.date.accessioned | 2013-03-12T08:17:52Z | |
| dc.date.available | 2013-03-12T08:17:52Z | |
| dc.date.issued | 2004 | en_US |
| dc.date.submitted | 2011-07-11 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10328 | |
| dc.description.abstract | In this paper a bootstrap algorithm for a reduced rank VAR-model with a restricted linear trend is analyzed. For testing the cointegration rank the asymptotic distribution under the hypothesis is the same as for the usual likelihood ratio test. It is furthermore shown that a bootstrap procedure for determining the rank is asymptotically consistent in the sense that the probability of choosing the rank too small converges to zero. An empirical illustration is given. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Statistical Research Report http://urn.nb.no/URN:NBN:no-23420 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-23420 | |
| dc.rights | © The Author(s) (2004). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Bootstrap algorithms for testing and determining the cointegration rank in VAR models | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2011-07-11 | en_US |
| dc.rights.holder | Copyright 2004 The Author(s) | |
| dc.creator.author | Swensen, Anders Rygh | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.urn | URN:NBN:no-28577 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 132235 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10328/1/stat-res-05-04.pdf | |