Bootstrap Testing Linear Restrictions on Cointergrating Vectors
协整向量线性约束的 Bootstrap 检验
We consider a computer-intensive method for inference on cointegrating vectors in maximum likelihood cointegration analysis. Simulation studies show that the size distortion for the asymptotic likelihood ratio test can be considerable for small samples. Itis demonstrated that a parametric bootstrap frequently results in a nearly exact α-level test. Furthermore, response surface regression is used to examine small-sample properties of the asymptotic test. In particular, using…