On bootstrap inference in cointegrating regressions

被引：7

作者：

Psaradakis, Z ^{[1
]}

机构：

[1] Univ London Birkbeck Coll, Sch Econ Math & Stat, London W1P 2LL, England

来源：

ECONOMICS LETTERS | 2001年 / 72卷 / 01期

关键词：

autoregressive approximation; cointegrating regression; sieve bootstrap;

D O I：

10.1016/S0165-1765(01)00410-4

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2001 Elsevier Science B.V. All rights reserved.

引用

页码：1 / 10

页数：10

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