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Stationary bootstrapping for cointegrating regressions

Title
Stationary bootstrapping for cointegrating regressions
Authors
Shin D.W.Hwang E.
Ewha Authors
신동완황은주
SCOPUS Author ID
신동완scopus
Issue Date
2013
Journal Title
Statistics and Probability Letters
ISSN
0167-7152JCR Link
Citation
vol. 83, no. 2, pp. 474 - 480
Indexed
SCIE; SCOPUS WOS scopus
Abstract
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. © 2012.
DOI
10.1016/j.spl.2012.10.007
Appears in Collections:
자연과학대학 > 통계학전공 > Journal papers
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