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    On bootstrap inference in cointegrating regressions

    Psaradakis, Zacharias (2001) On bootstrap inference in cointegrating regressions. Economics Letters 72 (1), pp. 1-10. ISSN 0165-1765.

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    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.


    Item Type: Article
    School: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 21 Jul 2020 12:09
    Last Modified: 21 Jul 2020 12:09


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