The power of bootstrap based tests for parameters in cointegrating regressions

DOI10.1007/BF02926103zbMath0948.62066MaRDI QIDQ1567079

Hongyi Li

Publication date: 5 June 2000

Published in: Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

bootstrapcointegrationtest powernonstationary time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bootstrap, jackknife and other resampling methods (62F40) Asymptotic properties of parametric tests (62F05)

Related Items (1)

Asymptotic results for hybrids of empirical and partial sums processes

Cites Work

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• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Statistical analysis of cointegration vectors
• Bootstrap methods: another look at the jackknife
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• The jackknife and the bootstrap for general stationary observations
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Canonical Cointegrating Regressions
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Bootstrapping time series models
• The bootstrap and Edgeworth expansion

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