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Bootstrapping cointegrating regressions using blockwise bootstrap methods - MaRDI portal

Bootstrapping cointegrating regressions using blockwise bootstrap methods

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Publication:4469070

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DOI10.1080/0094965031000081040zbMath1053.62099OpenAlexW2057659737MaRDI QIDQ4469070

Hongyi Li, Zhijie Xiao

Publication date: 14 June 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965031000081040

zbMATH Keywords

size distortion stationary bootstrap moving block bootstrap cointegraton

Mathematics Subject Classification ID

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

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