BIROn - Birkbeck Institutional Research Online

    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.

    Full text not available from this repository.

    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

    Statistics

    Activity Overview
    6 month trend
    0Downloads
    6 month trend
    74Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item