Bootstrapping cointegrating regressions
From MaRDI portal
Publication:275261
DOI10.1016/j.jeconom.2005.06.011zbMath1345.62070MaRDI 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
sieve bootstrap; AR approximation; cointegrating regression; efficient estimation and hypothesis testing
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G09: Nonparametric statistical resampling methods
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