The power of bootstrap based tests for parameters in cointegrating regressions

DOI10.1007/BF02926103zbMATH Open0948.62066MaRDI QIDQ1567079FDOQ1567079

Authors: Hongyi Li 

Publication date: 5 June 2000

Published in: Statistical Papers (Search for Journal in Brave)

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zbMATH Keywords

bootstrapcointegrationtest powernonstationary time series

Mathematics Subject Classification ID

Bootstrap, jackknife and other resampling methods (62F40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic properties of parametric tests (62F05)

Cites Work

• Bootstrap methods: another look at the jackknife
• The jackknife and the bootstrap for general stationary observations
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• The bootstrap and Edgeworth expansion
• Statistical analysis of cointegration vectors
• Title not available (Why is that?)
• Title not available (Why is that?)
• The use of subseries values for estimating the variance of a general statistic from a stationary sequence
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Canonical Cointegrating Regressions
• Asymptotic Equivalence of Ordinary Least Squares and Generalized Least Squares in Regressions With Integrated Regressors
• Bootstrapping time series models

Cited In (12)

• Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test
• Bootstrapping cointegrating regressions
• The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
• Title not available (Why is that?)
• A panel bootstrap cointegration test
• Title not available (Why is that?)
• Asymptotic results for hybrids of empirical and partial sums processes
• Bootstrap and fast double bootstrap tests of cointegration rank with financial time series
• Small sample testing for cointegration using the bootstrap approach
• On bootstrap inference in cointegrating regressions
• The power of bootstrap tests of cointegration rank
• Booststrapped johansen tests for cointegration relationships: a graphical analysis

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