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Export Reference (APA) 
Martins, L. F. (2018). Bootstrap tests for time varying cointegration. Econometric Reviews. 37 (5), 466-483
Export Reference (IEEE) 
L. F. Martins,  "Bootstrap tests for time varying cointegration", in Econometric Reviews, vol. 37, no. 5, pp. 466-483, 2018
Export BibTeX 
@article{martins2018_1764955314784,
	author = "Martins, L. F.",
	title = "Bootstrap tests for time varying cointegration",
	journal = "Econometric Reviews",
	year = "2018",
	volume = "37",
	number = "5",
	doi = "10.1080/07474938.2015.1092830",
	pages = "466-483",
	url = "https://www.tandfonline.com/doi/abs/10.1080/07474938.2015.1092830"
}
Export RIS 
TY  - JOUR
TI  - Bootstrap tests for time varying cointegration
T2  - Econometric Reviews
VL  - 37
IS  - 5
AU  - Martins, L. F.
PY  - 2018
SP  - 466-483
SN  - 0747-4938
DO  - 10.1080/07474938.2015.1092830
UR  - https://www.tandfonline.com/doi/abs/10.1080/07474938.2015.1092830
AB  - This article proposes wild and the independent and identically distibuted (i.i.d.) parametric bootstrap implementations of the time-varying cointegration test of Bierens and Martins (2010). The bootstrap statistics and the original likelihood ratio test share the same first-order asymptotic null distribution. Monte Carlo results suggest that the bootstrap approximation to the finite-sample distribution is very accurate, in particular for the wild bootstrap case. The tests are applied to study the purchasing power parity hypothesis for twelve Organisation for Economic Cooperation and Development (OECD) countries and we only find evidence of a constant long-term equilibrium for the U.S.-U.K. relationship.
ER  -