In this paper we investigate about a particular form of cointegration, called hidden cointegration, arising between positive and/or negative components of a time series and useful to model asymmetric behaviours, though requiring specific estimation and testing procedures. Consistently with this, we propose a bootstrap version of Engle and Granger (1987) procedure to detect hidden cointegration and present some Monte Carlo evidence to show the performance of the procedure.
A procedure to detect hidden cointegration with the sieve bootstrap
GEROLIMETTO, Margherita;PIZZI, Claudio;PROCIDANO, Isabella
2012-01-01
Abstract
In this paper we investigate about a particular form of cointegration, called hidden cointegration, arising between positive and/or negative components of a time series and useful to model asymmetric behaviours, though requiring specific estimation and testing procedures. Consistently with this, we propose a bootstrap version of Engle and Granger (1987) procedure to detect hidden cointegration and present some Monte Carlo evidence to show the performance of the procedure.
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