The power of bootstrap based tests for parameters in cointegrating regressions

DOI10.1007/BF02926103MaRDI QIDQ1567079zbMATH OpenFDO

Authors Hongyi Li

Publication date 5 June 2000

Published in Statistical Papers (Search for Journal in Brave)

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)

Recommendations

• The power of bootstrap tests of cointegration rank
• The Size and Power of Bootstrap and Bartlett-Corrected Tests of Hypotheses on the Cointegrating Vectors
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• scientific article; zbMATH DE number 6613411
• Bootstrapping cointegrating regressions
• Bootstrapping cointegration tests under structural co-breaks: A robust extended ECM test

Cites work

• 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: another look at the jackknife
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Bootstrapping time series models
• Canonical Cointegrating Regressions
• Co-Integration and Error Correction: Representation, Estimation, and Testing
• Statistical Inference in Instrumental Variables Regression with I(1) Processes
• Statistical analysis of cointegration vectors
• 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

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
• scientific article; zbMATH DE number 6613411 (Why is no real title available?)
• A panel bootstrap cointegration test
• scientific article; zbMATH DE number 5864669 (Why is no real title available?)
• 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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