Next Article in Journal
Asymptotic Distribution and Finite Sample Bias Correction of QML Estimators for Spatial Error Dependence Model
Previous Article in Journal
The Seasonal KPSS Test: Examining Possible Applications with Monthly Data and Additional Deterministic Terms
 
 
Article

A Jackknife Correction to a Test for Cointegration Rank

Department of Economics, University of Essex, Wivenhoe Park, Colchester, Essex CO4 3SQ, UK
Academic Editor: Kerry Patterson
Econometrics 2015, 3(2), 355-375; https://doi.org/10.3390/econometrics3020355
Received: 24 July 2014 / Accepted: 15 May 2015 / Published: 20 May 2015
This paper investigates the performance of a jackknife correction to a test for cointegration rank in a vector autoregressive system. The limiting distributions of the jackknife-corrected statistics are derived and the critical values of these distributions are tabulated. Based on these critical values the finite sample size and power properties of the jackknife-corrected tests are compared with the usual rank test statistic as well as statistics involving a small sample correction and a Bartlett correction, in addition to a bootstrap method. The simulations reveal that all of the corrected tests can provide finite sample size improvements, while maintaining power, although the bootstrap procedure is the most robust across the simulation designs considered. View Full-Text
Keywords: jackknife correction; bias reduction; cointegration rank test jackknife correction; bias reduction; cointegration rank test
MDPI and ACS Style

Chambers, M.J. A Jackknife Correction to a Test for Cointegration Rank. Econometrics 2015, 3, 355-375. https://doi.org/10.3390/econometrics3020355

AMA Style

Chambers MJ. A Jackknife Correction to a Test for Cointegration Rank. Econometrics. 2015; 3(2):355-375. https://doi.org/10.3390/econometrics3020355

Chicago/Turabian Style

Chambers, Marcus J. 2015. "A Jackknife Correction to a Test for Cointegration Rank" Econometrics 3, no. 2: 355-375. https://doi.org/10.3390/econometrics3020355

Find Other Styles

Article Access Map by Country/Region

1
Only visits after 24 November 2015 are recorded.
Back to TopTop