Bootstrapping cointegrating regression

DOI10.1016/0165-1765(93)00358-UzbMath0797.62105OpenAlexW1991465346MaRDI QIDQ1327931

Yikang Li

Publication date: 25 October 1994

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1765(93)00358-u

zbMATH Keywords

Monte Carlo studyconfidence intervalcoveragecointegrating regressionOLS estimatorsmall sample propertiesbootstrap percentile-\(t\) methodcointegrating estimatorStudent \(t\)-distribution

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (5)

Bootstrapping time series models ⋮ New small sample estimators for cointegration regression: low-pass spectral filter method ⋮ On bootstrap inference in cointegrating regressions ⋮ Identification robust inference in cointegrating regressions ⋮ Low-pass filtered least squares estimators of cointegrating vectors

Cites Work

• Theoretical comparison of bootstrap confidence intervals
• Bootstrap methods: another look at the jackknife
• Optimal Inference in Cointegrated Systems
• Bootstrap confidence intervals for a class of parametric problems
• Censored Data and the Bootstrap
• Time Series Regression with a Unit Root
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Econometrics

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