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Publication Detailed Description
Journal Title
Econometric Reviews
Year (definitive publication)
2018
Language
English
Country
United States of America
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Abstract
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.
Acknowledgements
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Keywords
Bootstrap,Likelihood ratio test,Purchasing power parity hypothesis,Time-varying cointegration
Fields of Science and Technology Classification
- Mathematics - Natural Sciences
- Economics and Business - Social Sciences
- Sociology - Social Sciences
Funding Records
| Funding Reference | Funding Entity |
|---|---|
| PTDC/EGE-ECO/122093/2010 | Fundação para a Ciência e a Tecnologia |
| UID/GES/00315/2013 | Fundação para a Ciência e a Tecnologia |
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