Bootstraping time series regressions with integrated process (Q2744935)
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scientific article; zbMATH DE number 1653768
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Bootstraping time series regressions with integrated process |
scientific article; zbMATH DE number 1653768 |
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9 October 2001
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bootstrap
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regression
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integrated processes
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unit root tests
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Bootstraping time series regressions with integrated process (English)
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The authors consider the bivariate time series regression model \(y_t=\beta x_t+u_t\), where \(x_t\) is an I(1) process \(x_t=x_t+v_t\), \(u_t\) and \(v_t\) are AR processes. A bootstrap procedure is constructed for the estimation of the distribution of the convenient least squares estimator \(\hat\beta\) for \(\beta\). It is shown that the bootstrap distribution approximates the asymptotic distribution of \(\hat\beta\). Hypothesis testing based on this technique is considered. Results of simulations are presented.
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