Abstract

This paper introduces bootstrap neural network pure significance tests for the no cointegration hypothesis against nonlinear cointegration alternatives. The theoretical properties of the tests are discussed and a Monte Carlo investigation of their small sample properties is undertaken.

Recommended Citation

George Kapetanios (2003) "Bootstrap Neural Network Cointegration Tests Against Nonlinear Alternative Hypotheses", Studies in Nonlinear Dynamics & Econometrics: Vol. 7: No. 2, Article 2.
http://www.bepress.com/snde/vol7/iss2/art2

Related Files

kapetanios_code.zip (9 kB)
program files