Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
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Publication:1371375
DOI10.1016/S0304-4076(97)00043-2zbMATH Open0915.62075OpenAlexW2989420891WikidataQ127446140 ScholiaQ127446140MaRDI QIDQ1371375FDOQ1371375
Authors: Hongyi Li, G. S. Maddala 
Publication date: 28 October 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4076(97)00043-2
Recommendations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) 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
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- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
- Canonical Cointegrating Regressions
- Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models
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- Estimating long-run relationships in economics. A comparison of different approaches
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Cited In (26)
- Recent developments in bootstrapping time series
- Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
- Bootstrap tests for autocorrelation.
- Bootstrapping cointegrating regression
- Bootstrapping cointegrating regressions
- 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
- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- Sieve bootstrapt-tests on long-run average parameters
- Analytical evaluation of the power of tests for the absence of cointegration
- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
- Bootstrapping unit root tests for integrated processes
- A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
- Bootstrap inference in systems of single equation error correction models
- On bootstrap inference in cointegrating regressions
- Block bootstrap theory for multivariate integrated and cointegrated processes
- The power of bootstrap based tests for parameters in cointegrating regressions
- 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
- New bootstrap inference for spurious regression problems
- Bootstrap-based ARMA order selection
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