08. november 2011

Anders Rahbek får optaget forskningsartikel i Econometrica.

Bootstrap Determination of the Cointegration Rank in VAR Models. Anders Rahbek, Copenhagen; Giuseppe Cavaliere, Bologna; Robert M. Taylor, Nottingham.

In this paper we address a new bootstrap algorithm which is applied succesfully to cointegrated vector AR models. More precisely, we show theoretically that the proposed bootstrap has the correct properties asymptotically irrespectively of the true underlying number of cointegrating relations, which is contrary to other existing procedures. Also Monte Carlo evidence suggests that our bootstrap works very well in practice, and solve well-known problems with small, or finite, sample sizes typically used in macroeconometrics.