Estimating cointegration parameters: An application of the double bootstrap

DOI10.1016/0378-3758(94)00015-NMaRDI QIDQ1345554zbMATH OpenFDO

Authors H. D. Vinod, B. D. McCullough

Publication date 8 November 1999

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Nonparametric statistical resampling methods (62G09)

Cites work

• scientific article; zbMATH DE number 3637090 (Why is no real title available?)
• scientific article; zbMATH DE number 3053501 (Why is no real title available?)
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Better Bootstrap Confidence Intervals
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• Bootstrap methods: another look at the jackknife
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Forecasting and testing in co-integrated systems
• Inference in Linear Time Series Models with some Unit Roots
• Interpreting cointegrated models
• Multiple Time Series Regression with Integrated Processes
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Refining Bootstrap Simultaneous Confidence Sets
• Spurious regressions in econometrics
• Time Series Regression with a Unit Root
• Understanding spurious regressions in econometrics

Cited in

(3)

• Confidence interval estimation of overlap: equal means case.
• Bootstrapping time series models
• On bootstrap inference in cointegrating regressions

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