Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
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Cites work
- scientific article; zbMATH DE number 3841086 (Why is no real title available?)
- scientific article; zbMATH DE number 4098516 (Why is no real title available?)
- scientific article; zbMATH DE number 854585 (Why is no real title available?)
- Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
- Bootstrap methods for standard errors, confidence intervals, and other measures of statistical accuracy
- Bootstrap methods: another look at the jackknife
- Bootstrap test of significance and sequential bootstrap estimation for unstable first order autoregressive processes
- Bootstrapping regression models
- Bootstrapping unstable first-order autoregressive processes
- Canonical Cointegrating Regressions
- Censored Data and the Bootstrap
- Co-Integration and Error Correction: Representation, Estimation, and Testing
- Econometrics
- Estimating Long-Run Economic Equilibria
- Estimating long-run relationships in economics. A comparison of different approaches
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
- Five alternative methods of estimating long-run equilibrium relationships
- ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
- Prepivoting Test Statistics: A Bootstrap View of Asymptotic Refinements
- Prepivoting to reduce level error of confidence sets
- Resampling methods for tests in regression models with autocorrelated errors
- Statistical Inference in Instrumental Variables Regression with I(1) Processes
- Statistical analysis of cointegration vectors
- The Stationary Bootstrap
- The bootstrap and Edgeworth expansion
- The jackknife and the bootstrap for general stationary observations
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Theoretical comparison of bootstrap confidence intervals
Cited in
(26)- Bootstrap-based ARMA order selection
- New bootstrap inference for spurious regression problems
- Recent developments in bootstrapping time series
- Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
- Bootstrapping cointegrating regression
- Bootstrapping cointegrating regressions
- Bootstrap tests for autocorrelation.
- The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
- Bootstrap Inference in Cointegrating Regressions: Traditional and Self-Normalized Test Statistics
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Stationary bootstrapping for cointegrating regressions
- Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
- Sieve bootstrapt-tests on long-run average parameters
- Analytical evaluation of the power of tests for the absence of cointegration
- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
- Bootstrap inference in systems of single equation error correction models
- Bootstrapping unit root tests for integrated processes
- A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
- On bootstrap inference in cointegrating regressions
- The power of bootstrap based tests for parameters in cointegrating regressions
- Block bootstrap theory for multivariate integrated and cointegrated processes
- Identification robust inference in cointegrating regressions
- On bootstrapping regressions with unit root processes
- Bootstrapping cointegrating regressions using blockwise bootstrap methods
- A Meta Analytic Approach to Testing for Panel Cointegration
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