Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
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Publication:1371375
DOI10.1016/S0304-4076(97)00043-2zbMath0915.62075OpenAlexW2989420891WikidataQ127446140 ScholiaQ127446140MaRDI QIDQ1371375
Publication date: 28 October 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00043-2
Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)
Related Items (21)
Bootstrap inference in systems of single equation error correction models ⋮ Bootstrapping cointegrating regressions ⋮ The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors ⋮ Analytical evaluation of the power of tests for the absence of cointegration ⋮ Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap ⋮ Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test ⋮ On bootstrap inference in cointegrating regressions ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ Bootstrap tests for autocorrelation. ⋮ Identification robust inference in cointegrating regressions ⋮ Bootstrapping unit root tests for integrated processes ⋮ A Meta Analytic Approach to Testing for Panel Cointegration ⋮ A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS ⋮ Bootstrap-based ARMA order selection ⋮ Sieve bootstrapt-tests on long-run average parameters ⋮ The power of bootstrap based tests for parameters in cointegrating regressions ⋮ On bootstrapping regressions with unit root processes ⋮ Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes ⋮ Recent developments in bootstrapping time series ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming ⋮ A model of fractional cointegration, and tests for cointegration using the bootstrap.
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