BOOTSTRAPPING COINTEGRATING REGRESSIONS

Authors
LI HY MADDALA GS
Citation
Hy. Li et Gs. Maddala, BOOTSTRAPPING COINTEGRATING REGRESSIONS, Journal of econometrics, 80(2), 1997, pp. 297-318
Citations number
51
Categorie Soggetti
Social Sciences, Mathematical Methods",Economics,"Mathematical, Methods, Social Sciences","Mathematics, Miscellaneous
Journal title
Journal of econometrics → ACNP
ISSN journal
03044076
Volume
80
Issue
2
Year of publication
1997
Pages
297 - 318
Database
ISI
SICI code
0304-4076(1997)80:2<297:BCR>2.0.ZU;2-P
Abstract
The paper investigates the usefulness of bootstrap methods for small s ample inference in cointegrating regression models. It discusses the s tandard bootstrap, the recursive bootstrap, the moving block bootstrap and the stationary bootstrap methods. Some guidelines for bootstrap d ata generation and test statistics to consider are provided and some s imulation evidence presented suggests that the bootstrap methods, when properly implemented, can provide significant improvement over asympt otic inference. (C) 1997 Elsevier Science S.A.