Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
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Cites work
- 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
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- Bootstrapping regression models
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- Canonical Cointegrating Regressions
- Censored Data and the Bootstrap
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- Econometrics
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- ON STUDENTIZING AND BLOCKING METHODS FOR IMPLEMENTING THE BOOTSTRAP WITH DEPENDENT DATA
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- Prepivoting to reduce level error of confidence sets
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- The bootstrap and Edgeworth expansion
- The jackknife and the bootstrap for general stationary observations
- The Stationary Bootstrap
- The use of subseries values for estimating the variance of a general statistic from a stationary sequence
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Cited in
(27)- Sieve bootstrapt-tests on long-run average parameters
- Bootstrapping cointegrating regression
- The power of bootstrap based tests for parameters in cointegrating regressions
- On bootstrapping regressions with unit root processes
- A model of fractional cointegration, and tests for cointegration using the bootstrap.
- Stationary bootstrapping for cointegrating regressions
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- Identification robust inference in cointegrating regressions
- Bootstrap inference in systems of single equation error correction models
- Bootstrapping cointegrating regressions
- Bootstrap-based ARMA order selection
- A Meta Analytic Approach to Testing for Panel Cointegration
- Bootstrapping unit root tests for integrated processes
- A NOTE ON THE POWER OF BOOTSTRAP UNIT ROOT TESTS
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- Recent developments in bootstrapping time series
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- The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
- Residuals‐based tests for the null of no‐cointegration: an Analytical comparison
- Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
- On bootstrap inference in cointegrating regressions
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- Improved estimation of semiparametric dynamic copula models with filtered nonstationarity
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- Small sample improvements in the threshold cointegration test using residual-based moving block bootstrap
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