Bootstrapping cointegrating regressions using blockwise bootstrap methods

DOI10.1080/0094965031000081040zbMATH Open1053.62099OpenAlexW2057659737MaRDI QIDQ4469070FDOQ4469070

Hongyi Li, Zhijie Xiao

Publication date: 14 June 2004

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/0094965031000081040

zbMATH Keywords

stationary bootstrapsize distortionmoving block bootstrapcointegraton

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cited In (5)

• Bootstrapping cointegrating regression
• Dynamic modeling of mean-reverting spreads for statistical arbitrage
• Block Bootstraps for Time Series With Fixed Regressors
• An alternative bootstrap to moving blocks for time series regression models
• Stationary bootstrapping for cointegrating regressions

   Recommendations

• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley) 👍 👎
• Bootstrapping cointegrating regression 👍 👎
• Bootstrapping cointegrating regressions 👍 👎
• On bootstrap inference in cointegrating regressions 👍 👎
• Block length selection in the bootstrap for time series 👍 👎

This page was built for publication: Bootstrapping cointegrating regressions using blockwise bootstrap methods

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4469070)