On bootstrap inference in cointegrating regressions (Q5941113)
From MaRDI portal
scientific article; zbMATH DE number 1635278
Language | Label | Description | Also known as |
---|---|---|---|
English | On bootstrap inference in cointegrating regressions |
scientific article; zbMATH DE number 1635278 |
Statements
On bootstrap inference in cointegrating regressions (English)
0 references
20 August 2001
0 references
This paper considers the construction of bootstrap hypothesis tests and confidence regions for the parameters of cointegrating regressions. We suggest to use a sieve bootstrap scheme based on resampling residuals from an autoregressive approximation to the innovation process driving the cointegrated system. Simulations demonstrate the small-sample effectiveness of this bootstrap method in the case of two commonly used estimators for cointegrating regressions.
0 references
Autoregressive approximation
0 references
Cointegrating regression
0 references
Sieve bootstrap
0 references
0 references
0 references
0 references
0 references