Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models
Title | Bootstrap Determination of the Co-integration Rank in Heteroskedastic VAR Models PDF eBook |
Author | Giuseppe Cavaliere |
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Pages | |
Release | 2012 |
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Bootstrap Sequential Determination of the Co-integration Rank in VAR Models
Title | Bootstrap Sequential Determination of the Co-integration Rank in VAR Models PDF eBook |
Author | Giuseppe Cavaliere |
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Pages | |
Release | 2010 |
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Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components
Title | Bootstrap Determination of the Co-Integration Rank in VAR Models with Unrestricted Deterministic Components PDF eBook |
Author | Giuseppe Cavaliere |
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Pages | 0 |
Release | 2015 |
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In a recent paper, Cavaliere et al., [Cavaliere G, 2012] develop bootstrap implementations of the popular likelihood-based co-integration rank tests and associated sequential rank determination procedures of Johansen [Johansen S, 1996]. By using estimates of the parameters of the underlying co-integrated VAR model obtained under the restriction of the null hypothesis, they show that consistent bootstrap inference can be obtained for processes whose deterministic component is either zero, a restricted constant or a restricted trend. In this article, we extend their bootstrap approach to allow the deterministic component to follow the practically relevant cases of either an unrestricted constant or an unrestricted trend from Johansen [Johansen S, 1996]. A full asymptotic theory is provided for these two cases, establishing the asymptotic validity of the resulting bootstrap tests. Our results, taken together with those in Cavaliere et al., [Cavaliere G, 2012], therefore show that the bootstrap approach based on imposing the reduced rank null hypothesis is valid for all five of these deterministic settings. Monte Carlo evidence demonstrates the improvements that the proposed bootstrap methods can deliver over the corresponding asymptotic procedures.
A Comparison of Sequential and Information-Based Methods for Determining the Co-Integration Rank in Heteroskedastic VAR Models
Title | A Comparison of Sequential and Information-Based Methods for Determining the Co-Integration Rank in Heteroskedastic VAR Models PDF eBook |
Author | Giuseppe Cavaliere |
Publisher | |
Pages | 0 |
Release | 2015 |
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In this article, we investigate the behaviour of a number of methods for estimating the co-integration rank in VAR systems characterized by heteroskedastic innovation processes. In particular, we compare the efficacy of the most widely used information criteria, such as Akaike Information Criterion (AIC) and Bayesian Information Criterion (BIC) , with the commonly used sequential approach of Johansen [Likelihood-based Inference in Cointegrated Vector Autoregressive Models (1996)] based around the use of either asymptotic or wild bootstrap-based likelihood ratio type tests. Complementing recent work done for the latter in Cavaliere, Rahbek and Taylor [Econometric Reviews (2014) forthcoming], we establish the asymptotic properties of the procedures based on information criteria in the presence of heteroskedasticity (conditional or unconditional) of a quite general and unknown form. The relative finite-sample properties of the different methods are investigated by means of a Monte Carlo simulation study. For the simulation DGPs considered in the analysis, we find that the BIC-based procedure and the bootstrap sequential test procedure deliver the best overall performance in terms of their frequency of selecting the correct co-integration rank across different values of the co-integration rank, sample size, stationary dynamics and models of heteroskedasticity. Of these, the wild bootstrap procedure is perhaps the more reliable overall as it avoids a significant tendency seen in the BIC-based method to over-estimate the co-integration rank in relatively small sample sizes.
Bootstrap Sequential Determination of the Co-integrated Rank in VAR Models
Title | Bootstrap Sequential Determination of the Co-integrated Rank in VAR Models PDF eBook |
Author | Giuseppe Cavaliere |
Publisher | |
Pages | |
Release | 2010 |
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ISBN |
Mathematical and Statistical Methods for Actuarial Sciences and Finance
Title | Mathematical and Statistical Methods for Actuarial Sciences and Finance PDF eBook |
Author | Marco Corazza |
Publisher | Springer |
Pages | 465 |
Release | 2018-07-17 |
Genre | Business & Economics |
ISBN | 3319898248 |
The interaction between mathematicians, statisticians and econometricians working in actuarial sciences and finance is producing numerous meaningful scientific results. This volume introduces new ideas, in the form of four-page papers, presented at the international conference Mathematical and Statistical Methods for Actuarial Sciences and Finance (MAF), held at Universidad Carlos III de Madrid (Spain), 4th-6th April 2018. The book covers a wide variety of subjects in actuarial science and financial fields, all discussed in the context of the cooperation between the three quantitative approaches. The topics include: actuarial models; analysis of high frequency financial data; behavioural finance; carbon and green finance; credit risk methods and models; dynamic optimization in finance; financial econometrics; forecasting of dynamical actuarial and financial phenomena; fund performance evaluation; insurance portfolio risk analysis; interest rate models; longevity risk; machine learning and soft-computing in finance; management in insurance business; models and methods for financial time series analysis, models for financial derivatives; multivariate techniques for financial markets analysis; optimization in insurance; pricing; probability in actuarial sciences, insurance and finance; real world finance; risk management; solvency analysis; sovereign risk; static and dynamic portfolio selection and management; trading systems. This book is a valuable resource for academics, PhD students, practitioners, professionals and researchers, and is also of interest to other readers with quantitative background knowledge.
A General Test for Cointegration Rank in Vector Autoregressive Models
Title | A General Test for Cointegration Rank in Vector Autoregressive Models PDF eBook |
Author | Niklas Ahlgren |
Publisher | |
Pages | 37 |
Release | 2003 |
Genre | |
ISBN | 9789515558114 |