Psaradakis, Zacharias (2001) On bootstrap inference in cointegrating regressions. Economics Letters 72 (1), pp. 1-10. ISSN 0165-1765.
Abstract
This paper considers the construction of bootstrap hypothesis tests and confidence regions for the parameters of cointegrating regressions. We suggest using a sieve bootstrap scheme based on resampling residuals from an autoregressive approximation to the innovation process driving the cointegrated system. Simulations demonstrate the small-sample effectiveness of this bootstrap method in the case of two commonly used estimators for cointegrating regressions.
Metadata
| Item Type: | Article |
|---|---|
| School: | Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School |
| Depositing User: | Sarah Hall |
| Date Deposited: | 21 Jul 2020 12:09 |
| Last Modified: | 02 Aug 2023 18:01 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/32631 |
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