Bootstrapping cointegrating regressions using blockwise bootstrap methods

DOI10.1080/0094965031000081040MaRDI QIDQ4469070zbMATHOpenAlexFDO

Authors 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)

Recommendations

• Bootstrapping cointegrating regressions. (With discussion by D. V. Hinkley)
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Cited in

(5)

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

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