Estimating cointegration parameters: An application of the double bootstrap

DOI10.1016/0378-3758(94)00015-NzbMATH Open0925.62532MaRDI QIDQ1345554FDOQ1345554

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

• Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
• Bootstrap methods: another look at the jackknife
• Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
• Title not available (Why is that?)
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Multiple Time Series Regression with Integrated Processes
• Title not available (Why is that?)
• Forecasting and testing in co-integrated systems
• Asymptotic Properties of Least Squares Estimators of Cointegrating Vectors
• Better Bootstrap Confidence Intervals
• Time Series Regression with a Unit Root
• Inference in Linear Time Series Models with some Unit Roots
• Understanding spurious regressions in econometrics
• Spurious regressions in econometrics
• Refining Bootstrap Simultaneous Confidence Sets
• Interpreting cointegrated models

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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