On bootstrap inference in cointegrating regressions (Q5941113)
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scientific article; zbMATH DE number 1635278
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On bootstrap inference in cointegrating regressions |
scientific article; zbMATH DE number 1635278 |
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On bootstrap inference in cointegrating regressions (English)
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20 August 2001
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This paper considers the construction of bootstrap hypothesis tests and confidence regions for the parameters of cointegrating regressions. We suggest to use a sieve bootstrap scheme based on resampling residuals from an autoregressive approximation to the innovation process driving the cointegrated system. Simulations demonstrate the small-sample effectiveness of this bootstrap method in the case of two commonly used estimators for cointegrating regressions.
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Autoregressive approximation
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Cointegrating regression
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Sieve bootstrap
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