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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Official URL: https://doi.org/10.1016/S0165-1765(01)00410-4

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:	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
URI:	https://eprints.bbk.ac.uk/id/eprint/32631

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