Bootstrapping cointegrating regressions

DOI10.1016/j.jeconom.2005.06.011zbMath1345.62070OpenAlexW1971326886MaRDI QIDQ275261

Yoosoon Chang, Joon Y. Park, Kevin Song

Publication date: 25 April 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2005.06.011

zbMATH Keywords

sieve bootstrapAR approximationcointegrating regressionefficient estimation and hypothesis testing

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (20)

A bootstrap theory for weakly integrated processes ⋮ Micro versus macro cointegration in heterogeneous panels ⋮ Cross-sectional correlation robust tests for panel cointegration ⋮ A simple sieve bootstrap range test for poolability in dependent cointegrated panels ⋮ High‐dimensional sparse multivariate stochastic volatility models ⋮ An adaptive truncated product method for combining dependent \(p\)-values ⋮ Bootstrap unit root tests in panels with cross-sectional dependency ⋮ Bootstrapping the likelihood ratio cointegration test in error correction models with unknown lag order ⋮ On bootstrapping panel factor series ⋮ Inference on functionals under first order degeneracy ⋮ A SIEVE BOOTSTRAP TEST FOR COINTEGRATION IN A CONDITIONAL ERROR CORRECTION MODEL ⋮ Residuals‐based tests for the null of no‐cointegration: an Analytical comparison ⋮ Identification robust inference in cointegrating regressions ⋮ A bootstrap algorithm for testing cointegration rank in VAR models in the presence of stationary variables ⋮ A Meta Analytic Approach to Testing for Panel Cointegration ⋮ DATA DEPENDENT RULES FOR SELECTION OF THE NUMBER OF LEADS AND LAGS IN THE DYNAMIC OLS COINTEGRATING REGRESSION ⋮ Sieve bootstrapt-tests on long-run average parameters ⋮ Homogenous panel unit root tests under cross sectional dependence: finite sample modifications and the wild bootstrap ⋮ Block Bootstrap Theory for Multivariate Integrated and Cointegrated Processes ⋮ Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming

Cites Work

• A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems
• A useful estimate in the multidimensional invariance principle
• Statistical analysis of cointegration vectors
• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
• Weak limit theorems for stochastic integrals and stochastic differential equations
• Asymptotics for linear processes
• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
• Bootstrapping unstable first-order autoregressive processes
• Bootstrap unit root tests in panels with cross-sectional dependency
• Testing For Unit Roots: 1
• A Sieve Bootstrap For The Test Of A Unit Root
• AN INVARIANCE PRINCIPLE FOR SIEVE BOOTSTRAP IN TIME SERIES
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Residual-Based Block Bootstrap for Unit Root Testing
• Bootstrap Unit Root Tests
• Handbook of econometrics. Vol. 5
• Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models

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