DSpace at EWHA: Stationary bootstrapping for cointegrating regressions

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DC Field	Value	Language
dc.contributor.author	신동완	*
dc.contributor.author	황은주	*
dc.date.accessioned	2016-08-28T10:08:33Z	-
dc.date.available	2016-08-28T10:08:33Z	-
dc.date.issued	2013	*
dc.identifier.issn	0167-7152	*
dc.identifier.other	OAK-9832	*
dc.identifier.uri	https://dspace.ewha.ac.kr/handle/2015.oak/223499	-
dc.description.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.	*
dc.language	English	*
dc.title	Stationary bootstrapping for cointegrating regressions	*
dc.type	Article	*
dc.relation.issue	2	*
dc.relation.volume	83	*
dc.relation.index	SCIE	*
dc.relation.index	SCOPUS	*
dc.relation.startpage	474	*
dc.relation.lastpage	480	*
dc.relation.journaltitle	Statistics and Probability Letters	*
dc.identifier.doi	10.1016/j.spl.2012.10.007	*
dc.identifier.wosid	WOS:000315762200007	*
dc.identifier.scopusid	2-s2.0-84869809460	*
dc.author.google	Shin D.W.	*
dc.author.google	Hwang E.	*
dc.contributor.scopusid	신동완(7403352539)	*
dc.contributor.scopusid	황은주(23094221200)	*
dc.date.modifydate	20240116115756	*