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Testing for cointegrating relations - A bootstrap approach
(University of Gothenburg, 1999-05-01)
Using Monte Carlo methods together with the Bootstrap critical values, we have studied the properties of two tests (Trace and L-max), derived by Johansen (1988) for testing for cointegration in V AR systems. Regarding the ...
The effect of non-normal error terms on the properties of systemwise RESET test
(University of Gothenburg, 1999-06-01)
The small sample properties of the systemwise RESET test for functional misspecification is investigated using normal and non-normal error terms. When using normally distributed or less heavy tailed error terms, we find ...
The causal nexus of government spending and revenue in Finland: A bootstrap approach
(University of Gothenburg, 1998-10-01)
Applying VAR(5), a bootstrap simulation approach and a multivariate Rao's F-test indicate that government revenue Granger causes spending in Finland. This does not agree with Barro's tax smoothing hypothesis. The explanation ...
The robustness of the systemwise Breauch-Godfrey autocorrelation test for non-normal distributed error terms
(University of Gothenburg, 1998-11-01)
Using Monte Carlo methods, the properties of systemwise generalisations of the BreauchGodfrey test for autocorrelated errors are studied in situations when the error terms follow a normal and non-normal distributions. ...
Testing for multivariate heteroscedasticity
(University of Gothenburg, 2003-01-01)
In this paper we propose a testing technique for multivariate heteroscedasticity, which is expressed as a test of linear restrictions in a multivariate regression model. Four test statistics with known asymptotical null ...
Multivariate based causality tests of twin deficits in the US
(University of Gothenburg, 2000-01-01)
This paper provides an alternative methodology for testing the causality direction between Twin deficits in the US. Rao' s multivariate F -test combined with bootstraps simulation technique has appealing properties, ...