The cointegration analysis in hypothesis of heteroschedasticity: the wild bootstrap test
AbstractWe consider the problem of comparing, by simulations, the robustness as regards heteroschedasticity GARCH (1,1) of some of the most important procedures proposed in literature for the cointegration analysis. In particular, we consider the Johansen test and some "two steps" "procedures", i.e. Dickey-Fuller test, Sargan-Bhargava test and an External Bootstrap test. The Bootstrap test performs very well, particularly for the lowest sample size.
How to Cite
Gerolimetto, M., & Procidano, I. (2003). The cointegration analysis in hypothesis of heteroschedasticity: the wild bootstrap test. Statistica, 63(3), 603–610. https://doi.org/10.6092/issn.1973-2201/372