A Bootstrap Cointegration Rank Test for Panels of VAR Models-VAR模型面板的自举协整秩检验

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英文文献：A Bootstrap Cointegration Rank Test for Panels of VAR Models-VAR模型面板的自举协整秩检验
英文文献作者：Laurent A.F. Callot
英文文献摘要：
This paper proposes a sequential procedure to determine the common cointegration rank of panels of cointegrated VARs. It shows how a panel of cointegrated VARs can be transformed in a set of independent individual models. The likelihood function of the transformed panel is the sum of the likelihood functions of the individual Cointegrated VARs (CVAR) models. A bootstrap based procedure is used to compute empirical distributions of the trace test statistics for these individual models. From these empirical distributions two panel trace test statistics are constructed. The satisfying small sample properties of these tests are documented by means of Monte Carlo. An empirical application illustrates the usefullness of this tests.

提出了一种确定共积分变量面板共同协整秩的顺序方法。它展示了如何在一组独立的独立模型中转换一组协整变量。转换后的面板的似然函数是各协整var (CVAR)模型的似然函数之和。一个基于bootstrap的程序被用来计算这些个别模型的跟踪检验统计量的经验分布。根据这些经验分布构造了两个面板跟踪检验统计量。用蒙特卡罗方法证明了这些测试令人满意的小样本性质。一个经验应用说明了该测试的有效性。

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