The cointegration analysis in hypothesis of heteroschedasticity: the wild bootstrap test

Authors

  • Margherita Gerolimetto Università degli Studi di Padova
  • Isabella Procidano Università Ca’ Foscari, Venezia

DOI:

https://doi.org/10.6092/issn.1973-2201/372

Abstract

We 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.

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Published

2007-10-19

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

Issue

Vol. 63 No. 3 (2003)

Section

Articles

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Copyright (c) 2003 Statistica

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