Frequency domain bootstrap for the fractional cointegration regression

被引：3
|
作者：
Gerolimetto, Margherita [1 ]
机构：
[1] Univ Padua, Dipartimento Sci Stat, I-35121 Padua, Italy
来源：
ECONOMICS LETTERS | 2006年 / 91卷 / 03期
关键词：
fractional cointegration; bootstrap methods; frequency domain;
D O I：
10.1016/j.econlet.2005.12.015
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper a bootstrap approach in the frequency domain is proposed to compute the empirical distribution of the Narrow Band Least Squares Estimator [Robinson, P.M., 1994. Semiparametric analysis of long memory time series. The Annals of Statistics 22, 515-539.] of the fractional cointegration parameter. A Monte Carlo experiment illustrates the finite sample performance. (c) 2005 Elsevier B.V All rights reserved.
引用
收藏
页码：389 / 394
页数：6
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