BOOTSTRAPPING COINTEGRATING REGRESSION

被引：4
|
作者：
LI, YK
机构：
[1] Economics Department, University of Florida, Gainesville
来源：
ECONOMICS LETTERS | 1994年 / 44卷 / 03期
关键词：
D O I：
10.1016/0165-1765(93)00358-U
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
In this paper we use a Monte Carlo study to examine the small sample properties of an estimator of a cointegrating regression. We present some bootstrap methods to construct an appropriate confidence interval for the cointegrating estimator. The results show that while the Student-t distribution provides poor coverage of the confidence interval for the conventional OLS estimator, the bootstrap percentile-t method does provide reliable confidence intervals.
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页码：229 / 233
页数：5
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