Stationary bootstrapping for cointegrating regressions

被引：9
|
作者：
Shin, Dong Wan [1 ]
Hwang, Eunju
机构：
[1] Ewha Womans Univ, Dept Stat, Seoul, South Korea
来源：
STATISTICS & PROBABILITY LETTERS | 2013年 / 83卷 / 02期
基金：
新加坡国家研究基金会;
关键词：
Cointegrating regression; Stationary bootstrapping; UNIT-ROOT TESTS;
D O I：
10.1016/j.spl.2012.10.007
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The validity of stationary bootstrapping is investigated for cointegrating regressions in large samples as well as in finite samples. The bootstrap ordinary least squares estimator (OLSE) is shown to be valid in large samples having the same limiting distribution as the OLSE under a similar normalization. Large sample validity of a bootstrap test regarding cointegration parameters is also established. Finite sample size and power properties of the bootstrap test are investigated via a Monte Carlo experiment. (C) 2012 Published by Elsevier B.V.
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页码：474 / 480
页数：7
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